This paper provides a method to assess the risk relief deriving from a foreign expansion by a life insurance company. We build a parsimonious continuous-time model for longevity risk that captures the dependence across different ages in domestic versus foreign populations. We calibrate the model to portray the case of a UK annuity portfolio expanding internationally toward Italian policyholders. The longevity risk diversification benefits of an international expansion are sizable, in particular when interest rates are low. The benefits are judged based on traditional measures, such as the Risk Margin or volatility reduction, and on a novel measure, the Diversification Index.

本文提供了一种评估人寿保险公司因国外扩张而产生的风险减轻的方法。我们为寿命风险建立了一个简化的连续时间模型，该模型捕获了国内和国外人口在不同年龄段的依赖性。我们对模型进行了校准，以描述英国年金投资组合在国际范围内向意大利保单持有人扩展的情况。国际扩张带来的长寿风险多元化收益是可观的，尤其是在利率较低时。收益是根据传统方法（例如风险边际或减少波动率）以及新方法（多元化指数）进行判断的。