Abstract
The paper offers an insight into life insurance risk management topics with reference to recent regulatory innovation. The study starts with a full breakdown of the risk system of life insurance companies and provides a methodology of identification of risk drivers pertinent to both current earning and market value approaches. By means of the differential analysis, we are able to build up a whole series of risk indicators serving the whole risk management process. Such indicators can be easily plugged into the risk-adjusted performance metrics for both internal and institutional control targets. The methodology is applied to an exemplar case of a life annuity portfolio.
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