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.

中文翻译：

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年金投资组合中的地域多元化和长寿风险缓释

本文提供了一种评估人寿保险公司海外扩张所带来的风险缓解的方法。我们为长寿风险建立了一个简洁的连续时间模型，该模型捕捉了国内与国外人群不同年龄的依赖性。我们校准模型以描绘英国年金投资组合在国际上向意大利投保人扩展的案例。国际扩张带来的长寿风险分散收益是可观的，尤其是在利率较低的情况下。收益的判断基于传统的衡量标准，例如风险保证金或波动性降低，以及一种新的衡量标准，多元化指数。