Best estimate calculations of savings contracts by closed formulas: application to the ORSA

DOI10.1007/S13385-014-0086-ZzbMATH Open1304.91093OpenAlexW1997529458MaRDI QIDQ487620FDOQ487620

Authors: François Bonnin, Frédéric Planchet, Marc Juillard 

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-014-0086-z

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Mathematics Subject Classification ID

Cites Work

• Financial modeling, actuarial valuation and solvency in insurance
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Interest rate models -- theory and practice. With smile, inflation and credit
• Dynamic asset allocation under VaR constraint with stochastic interest rates
• Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance

Cited In (4)

• Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
• Robust evaluation of SCR for participating life insurances under Solvency II
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• Multi-year analysis of solvency capital in life insurance

Uses Software

• R

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