An option pricing approach for measuring Solvency Capital Requirements in Insurance Industry
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DOI: 10.1016/j.physa.2018.05.113
Abstract: Solvency capital requirements indicated by Solvency II against longevity risk involve distortions and inconsistencies caused by the invariance of the longevity shock compared to the age and time assumed by the regulatory model. To overcome… read more here.
Keywords: pricing approach; solvency; solvency capital; capital requirements ... See more keywords