A market-consistent framework for the fair evaluation of insurance contracts under Solvency II

被引:5
|
作者
Gambaro, Anna Maria [1 ]
Casalini, Riccardo [2 ]
Fusai, Gianluca [1 ,3 ]
Ghilarducci, Alessandro [4 ]
机构
[1] Univ Piemonte Orientale, Dipartimento Studi Econ & Impresa, Via E Perrone 18, I-28100 Novara, Italy
[2] UnipolSai Assicurazioni SpA, Risk Management, Via Stalingrado 45, Bologna, Italy
[3] City Univ London, Fac Finance, Cass Business Sch, 106 Bunhill Row, London EC1Y 8TZ, England
[4] Deloitte Consulting Srl, Finance & Risk, Via Tortona 25, I-20144 Milan, Italy
关键词
Solvency II; Economic scenario generator; Minimum guaranteed option; Sensitivity analysis; TERM STRUCTURE; CREDIT; RISK; VALUATION; SPREADS;
D O I
10.1007/s10203-019-00242-1
中图分类号
O1 [数学]; C [社会科学总论];
学科分类号
03 ; 0303 ; 0701 ; 070101 ;
摘要
The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds. The robustness of these valuations is crucial for insurance companies in order to produce sound estimates and good risk management strategies, in particular, for liability-driven products such as with-profit saving and pension funds. This paper introduces a Monte Carlo simulation approach for evaluation of insurance assets and liabilities, which is more suitable for risk management of liability-driven products than common approaches generally adopted by insurance companies, in particular, with respect to the assessment of valuation risk.
引用
收藏
页码:157 / 187
页数:31
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