Multi-year analysis of solvency capital in life insurance (Q2066780)

The paper deals with financial guarantees in participating life insurance products. Within this context, two types of interest rate guarantee in life insurance are considered: a maturity guarantee and a cliquet-style guarantee. The modelling framework in which the problem is set consists of a Hull-White model for interest rates and a geometric Brownian motion for stocks. After presenting the valuation of the liabilities and the derivation of the solvency capital requirement, a detailed numerical analysis is provided. The results of this investigation include a time period analysis, a time point analysis, a study of functional relationships as well as a sensitivity analysis with regard to the initial balance sheet allocation, the asset allocation and the level of the interest rate guarantee.