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.
Fair pricing of life insurance participating policies with a minimum interest rate guaranteed.ASTIN Bulletin, 31(2):275–297, 2001
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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.