1698. A Prospective Analysis of LTC Insurance: model risk and subjective utility assessment
Invited abstract in session TD-9: Insurance and financial innovation for sustainable growth , stream OR in Finance and Insurance .
Tuesday, 14:30-16:00Room: Clarendon SR 2.01
Authors (first author is the speaker)
| 1. | Gabriella Piscopo
|
| University of Naples Federico II | |
| 2. | Emilia Di Lorenzo
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| Economic and Statistical Sciences, University of Naples Federico II | |
| 3. | Alba Roviello
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| University of Naples Federico II | |
| 4. | Marilena Sibillo
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| Department of Economics and Statistics, University of Salerno |
Abstract
The emergence of aging and health deterioration, coupled with increasing pressure on global healthcare systems, calls for greater effort from long-term care (LTC) systems. These systems can provide solutions that address social needs while promoting collective well-being, aligned with the principles of sustainable finance. In this work, we examine how insurers can dynamically evaluate profits from a LTC portfolio under a forward-looking perspective. In particular, these types of coverage are based on health-related tables and transition probabilities, whose determination is complex and subject to a high degree of uncertainty. In order to exhibit the consequences of making an incorrect choice in terms of technical bases, we built our methodology on a 'risk-adjusted' procedure and investigate expected profit/loss patterns over time, as well as perceived risk in different valuation scenarios. Additionally, to enables profitability measurement to reflect risk exposure, we incorporate model risk into a subjective evaluation, considering CRRA utility functions adjusted for risk.
Keywords
- Financial Modelling
- Economic Modeling
- OR in Sustainability
Status: accepted
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