  The paper provides a stochastic model useful for assessing the capital
requirement for demographic risk. The model extends to the market consistent
context classical methodologies developed in a local accounting framework. In
particular we provide a unique formulation for different non-participating life
insurance contracts and we prove analytically that the valuation of demographic
profit can be significantly affected by the financial conditions in the market.
A case study has been also developed considering a portfolio of life insurance
contracts. Results prove the effectiveness of the model in highlighting main
drivers of capital requirement evaluation, also compared to local GAAP
framework.
