  We investigate the quantification of demographic risk in a framework
consistent with the market-consistent valuation imposed by Solvency II. We
provide compact formulas for evaluating inflows and outflows of a portfolio of
insurance policies based on a cohort approach. In this context, we maintain the
highest level of generality in order to consider both traditional policies and
equity-linked policies: therefore, we propose a market-consistent valuation of
the liabilities. In the second step we evaluate the Solvency Capital
Requirement of the idiosyncratic risk, linked to accidental mortality, and the
systematic risk one, also known as trend risk, proposing a formal closed
formula for the former and an algorithm for the latter. We show that accidental
volatility depends on the intrinsic characteristics of the policies of the
cohort (Sums-at-Risk), on the age of the policyholders and on the variability
of the sums insured; trend risk depends both on accidental volatility and on
the longevity forecasting model used.
