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.
Asset-liability management for long-term insurance business
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
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.