Long-term insurance products and volatility under the Solvency II framework

DOI10.1007/S13385-014-0100-5MaRDI QIDQ906579zbMATH OpenOpenAlexWikidataFDO

Authors Korneel van den Broek

Publication date 22 January 2016

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s13385-014-0100-5

zbMATH Keywords

volatilityilliquiditySolvency IIcredit spread processlong-term insurance productsmatching adjustment

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
• An option pricing approach for measuring solvency capital requirements in insurance industry
• On market value margins and cost of capital
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• A Solution for Solvency II Quantitative Requirements Modeling with Long-Tail Liabilities

Cites work

• An academic view on the illiquidity premium and market-consistent valuation in insurance
• Market-consistent actuarial valuation
• Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(5)

• An option pricing approach for measuring solvency capital requirements in insurance industry
• Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
• Solvency II own risk and solvency assessment for long term care insurance
• Product pricing and solvency capital requirements for long-term care insurance
• Interest rate model comparisons for participating products under Solvency II

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