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
下载
收藏
页码:157 / 187
页数:31
相关论文
共 50 条
  • [21] Measuring profitability of life insurance products under Solvency II
    Karen Tanja Rödel
    Stefan Graf
    Alexander Kling
    Andreas Reuß
    European Actuarial Journal, 2021, 11 : 349 - 376
  • [22] Measuring profitability of life insurance products under Solvency II
    Rodel, Karen Tanja
    Graf, Stefan
    Kling, Alexander
    Reuss, Andreas
    EUROPEAN ACTUARIAL JOURNAL, 2021, 11 (02) : 349 - 376
  • [23] Valuation of the new business in the life insurance under Solvency II
    Soltesova, Tatiana
    MANAGING AND MODELLING OF FINANCIAL RISKS - 8TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PT III, 2016, : 993 - 1000
  • [24] Market Consistent ALM for Life Insurers-Steps toward Solvency II
    van Bragt, David
    Steehouwer, Hens
    Waalwijk, Bart
    GENEVA PAPERS ON RISK AND INSURANCE-ISSUES AND PRACTICE, 2010, 35 (01): : 92 - 109
  • [25] SOCIAL RESPONSIBILITY OF SOLVENCY II - THE MAIN CONDITION FOR SUSTAINABLE DEVELOPEMENT OF INSURANCE MARKET
    Peleckiene, Valentina
    Peleckis, Kestutis
    7TH INTERNATIONAL SCIENTIFIC CONFERENCE BUSINESS AND MANAGEMENT 2012, 2012, : 1176 - 1181
  • [26] FAIR VALUATION OF LIFE INSURANCE CONTRACTS UNDER A CORRELATED JUMP DIFFUSION MODEL
    Dong, Yinghui
    ASTIN BULLETIN, 2011, 41 (02): : 429 - 447
  • [27] A Levy process-based framework for the fair valuation of participating life insurance contracts
    Ballotta, L
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (02): : 173 - 196
  • [28] An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
    Zanotto, Alberto
    Clemente, Gian Paolo
    EUROPEAN ACTUARIAL JOURNAL, 2022, 12 (01) : 89 - 123
  • [29] An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
    Alberto Zanotto
    Gian Paolo Clemente
    European Actuarial Journal, 2022, 12 : 89 - 123
  • [30] How Insurance Companies Meet Solvency II Requirements? Evidence from The Polish Non-Life Insurance Market
    Borda, Marta
    Jaskiewicz, Dorota
    EDUCATION EXCELLENCE AND INNOVATION MANAGEMENT: A 2025 VISION TO SUSTAIN ECONOMIC DEVELOPMENT DURING GLOBAL CHALLENGES, 2020, : 1231 - 1240