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Simulating the Relative Solvency of Life Insurers

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  • Hardy, M.R.

Abstract

In this paper a stochastic model office offering UK-style life insurance contracts is used to demonstrate the effect on relative solvency of different investment and bonus strategies. Relative solvency is defined loosely as the probability that an individual insurer does not fall significantly out of line with the rest of the life insurance market, in terms of, for example, asset liability ratios, or payouts to with-profit policyholders. The model uses the Wilkie investment model, extended to incorporate variation between companies in equity performance.

Suggested Citation

  • Hardy, M.R., 1996. "Simulating the Relative Solvency of Life Insurers," British Actuarial Journal, Cambridge University Press, vol. 2(4), pages 1003-1019, October.
    • Handle: RePEc:cup:bracjl:v:2:y:1996:i:04:p:1003-1019_00
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