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

DOI10.1007/S13385-014-0100-5zbMATH Open1329.91079OpenAlexW2066456727WikidataQ59319093 ScholiaQ59319093MaRDI QIDQ906579FDOQ906579

Authors: Korneel van den Broek 

Publication date: 22 January 2016

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

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

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

zbMATH Keywords

volatilityilliquiditySolvency IIcredit spread processlong-term insurance productsmatching adjustment

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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

Cited In (5)

• Solvency II own risk and solvency assessment for long term care insurance
• Product pricing and solvency capital requirements for long-term care insurance
• 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
• Interest rate model comparisons for participating products under Solvency II

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