Best estimate calculations of savings contracts by closed formulas: application to the ORSA

DOI10.1007/s13385-014-0086-zzbMath1304.91093OpenAlexW1997529458MaRDI QIDQ487620

Marc Juillard, François Bonnin, Frédéric Planchet

Publication date: 22 January 2015

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

Full work available at URL: https://doi.org/10.1007/s13385-014-0086-z

Mathematics Subject Classification ID

Related Items (4)

Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions ⋮ Robust evaluation of SCR for participating life insurances under Solvency II ⋮ Multi-year analysis of solvency capital in life insurance ⋮ Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?

Uses Software

• R

Cites Work

• Financial modeling, actuarial valuation and solvency in insurance
• Interest rate models -- theory and practice. With smile, inflation and credit
• Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance
• Dynamic asset allocation under VaR constraint with stochastic interest rates
• A Lévy process-based framework for the fair valuation of participating life insurance contracts

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