A synthetic asset-liability model for life insurers shows that the interest-rate model choice and bond cash-flow matching materially change the Solvency Capital Requirement computed with the standard formula.
Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry.Geneva Papers on Risk and Insurance - Issues and Practice, 43(3):420–455, July 2018
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A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula
A synthetic asset-liability model for life insurers shows that the interest-rate model choice and bond cash-flow matching materially change the Solvency Capital Requirement computed with the standard formula.