Interest rate model comparisons for participating products under Solvency II

DOI10.1080/03461238.2017.1332679MaRDI QIDQ4585944zbMATH OpenOpenAlexFDO

Authors Kjersti Aas, Linda Reiersølmoen Neef, Lloyd K. Williams, D. Raabe

Publication date 11 September 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2017.1332679

zbMATH Keywords

interest rate modelslife insuranceLibor market modelCIR++G2++market value of liabilities

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Multi-year analysis of solvency capital in life insurance
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
• Long-term insurance products and volatility under the Solvency II framework
• Surplus participation schemes for life annuities under Solvency II
• Topical modelling issues in Solvency II

Cites work

• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Interest rate models -- theory and practice
• The Market Model of Interest Rate Dynamics

Cited in

(3)

• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• A lattice approach to evaluate participating policies in a stochastic interest rate framework
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

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