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Standard approaches to asset and liability risk
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2005 (English)In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, Vol. 5, 377-400 p.Article in journal (Refereed) Published
Abstract [en]

We compare two different valuation models for assets and liabilitiesthat can be considered in the standard approach to solvency assessmentand in particular, in determining the required target capital. The firstmodel is suggested by a joint working party by members in CEA, Comit´eEurop´een des Assurances, and is based on the duration concept and thesecond one is based on ideas from Arbitrage Pricing Theory (APT). Anapplication of these valuation approaches to two specific insurance contractsone from life insurance and another from vehicle insurance showsthat, among other things, the duration-based approach to solvency assessmentsuggests larger target capital requirement than the one based onAPT.

Place, publisher, year, edition, pages
2005. Vol. 5, 377-400 p.
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URN: urn:nbn:se:kth:diva-59931OAI: diva2:476755
QC 20120125Available from: 2012-01-12 Created: 2012-01-12 Last updated: 2012-01-25Bibliographically approved

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Djehiche, Boualem
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