Ermanno Pitacco - Academia.edu (original) (raw)

Papers by Ermanno Pitacco

In this paper the problem of funding medical ex- penses covers for the elderly in the presence of... more In this paper the problem of funding medical ex- penses covers for the elderly in the presence of longevity risk is studied. Different premium systems are considered and the relevant riskiness is evaluated. The evaluation of the riskiness is performed assuming deterministic mortality trends as well as allowing for the randomness inherent in any trend forecast.

Mortality improvements, uncertainty in future mortality trends and the relevant impact on life an... more Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annuities and pension plans constitute important topics in the field of actuarial mathematics and life insurance techniques. In particular, actuarial calculations concerning pensions, life annuities and other living benefits (provided, for example, by long-term care insurance products and whole life sickness covers) are based on survival probabilities which necessarily extend over a long time horizon. In order to avoid underestimation of the related liabilities, the insurance company (or the pension plan) must adopt an appropriate forecast of future mortality. Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has in...

Safe-side requirements concern the assumptions used to calculate premiums in relation to a set of... more Safe-side requirements concern the assumptions used to calculate premiums in relation to a set of more realistic assumptions. Roughly, safe-side requirements express the capability of premiums to generate positive margins. In a strictly actuarial framework, safe-side requirements are given in terms of some notion of expected profit, calling for assumptions that let such profit be nonnegative. An expected profit of zero, however, is not a realistic aim for the insurer. We investigate the notion of conservative assumptions by adopting a unconventional approach. Our focus is the management of the financial resources coming both from premiums and from shareholders’ capital. This leads to a general structure that includes as particular cases the results obtainable in a strictly actuarial environment.

Recent mortality trends lead to the use of projected mortality tables when pricing and reserving ... more Recent mortality trends lead to the use of projected mortality tables when pricing and reserving for life annuities (as well as for other living benefits, such as Long Term Care benefits, whole life sickness benefits, etc.). However mortality patterns continuously evolve along time, so that any projection might reveal weak when used for pricing new annuities and reserving for in-force business. Hence, adjustments must be made in pricing and reserving bases. Monitoring mortality provides data, while an appropriate inferential model should constitute the structure underpinning the adjustment procedure. In this paper, inference about portfolio mortality trends is first focussed. Then, a Bayesian inferential model is proposed, aiming at mortality adjustments based on prior information and statistical evidence. Numerical examples illustrate the inferential mechanism. Finally, some actuarial applications are proposed.

For the best estimate of life annuity provisions, the longevity risk of the insured population mu... more For the best estimate of life annuity provisions, the longevity risk of the insured population must be estimated. In this article, we present an application of the Poisson logbilinear model to construct life annuity tables for the Slovenian market. As data on the selection effect of annuity owners are not available for the Slovenian market, we have used selection statistics from UK data. We then compare those tables with the German annuity tables DAV 1994 R, which are the current minimum standard for valuing annuity-related liabilities in Slovenia. It is shown that current minimum standard underestimate longevity risk of the insured population in Slovenia by 2-4%.

Far East Journal of Mathematical Sciences

For lifelong health insurance covers, medical inflation not incorporated in the level premiums de... more For lifelong health insurance covers, medical inflation not incorporated in the level premiums determined at policy issue requires an appropriate increase of these premiums and/or the corresponding reserves during the term of the contract. In this paper, we investigate

SSRN Electronic Journal, 2000

In actuarial practice, the main calculations for insurance covers in the health care area, person... more In actuarial practice, the main calculations for insurance covers in the health care area, personal accident and sickness insurance in particular, are commonly based on simplified methods, whose probabilistic assumptions are often not enough clear. In this paper, starting from a rather general structure for the disability process, we show that reasonable approximations lead to the multistate model. Thus, we first show that, since the features of the multistate model allow for several disability degrees, a rigorous modelling for personal accident insurance can be obtained; in this context, risk factors (and hence rating factors) can be represented by an appropriate choice of the transition intensities. Secondly, as the multistate model provides a sound framework for interpreting practical calculation methods used in the health insurance area, we revise some pricing formulae for personal accident and sickness insurance used in practice, so to highlight the main underlying probabilistic assumptions.