Multi-year analysis of solvency capital in life insurance

DOI10.1007/s13385-021-00259-0zbMath1482.91187OpenAlexW3139469632MaRDI QIDQ2066780

Alexander Kling, Karen Tanja Rödel, Stefan Graf

Publication date: 14 January 2022

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

Full work available at URL: https://doi.org/10.1007/s13385-021-00259-0

zbMATH Keywords

solvency capitalparticipating life insurance

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Best estimate calculations of savings contracts by closed formulas: application to the ORSA
• Interest rate models -- theory and practice. With smile, inflation and credit
• Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance
• Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Risk measure and fair valuation of an investment guarantee in life insurance
• On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
• A Modified Cholesky Algorithm Based on a Symmetric Indefinite Factorization
• FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
• Pricing Interest-Rate-Derivative Securities
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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