Abstract
We compare two different models for assets and liabilities for an insurance company that can be considered in the standard approach to solvency assessment and in particular, in determining the required target capital. The first model is suggested by a joint working party by members in CEA, Comité Européen des Assurances, and is based on the duration concept and the second one is an application of ideas by Samuelson and Vasicek.
Original language | English (US) |
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Pages (from-to) | 377-400 |
Number of pages | 24 |
Journal | Scandinavian Actuarial Journal |
Volume | 2005 |
Issue number | 5 |
DOIs | |
State | Published - Sep 1 2005 |
Keywords
- Asset liability
- Coherent risk measure
- Mismatch
- Solvency
- Target capital
- Value-at-Risk
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty