Multi-year analysis of solvency capital in life insurance (Q2066780)
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scientific article; zbMATH DE number 7457621
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| English | Multi-year analysis of solvency capital in life insurance |
scientific article; zbMATH DE number 7457621 |
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Multi-year analysis of solvency capital in life insurance (English)
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14 January 2022
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The paper deals with financial guarantees in participating life insurance products. Within this context, two types of interest rate guarantee in life insurance are considered: a maturity guarantee and a cliquet-style guarantee. The modelling framework in which the problem is set consists of a Hull-White model for interest rates and a geometric Brownian motion for stocks. After presenting the valuation of the liabilities and the derivation of the solvency capital requirement, a detailed numerical analysis is provided. The results of this investigation include a time period analysis, a time point analysis, a study of functional relationships as well as a sensitivity analysis with regard to the initial balance sheet allocation, the asset allocation and the level of the interest rate guarantee.
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solvency capital
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participating life insurance
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0.87972045
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0.87555933
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0.87078804
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0.8680385
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0.86136854
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0.8362447
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0.83620375
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0.83532983
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