Advanced Search
MyIDEAS: Login

Solvency capital requirement for German unit-linked insurance products


Author Info

  • Kochanski, Michael


Innovative Lebensversicherungsprodukte wie fondsgebundene Lebensversicherungen, Hybrid-Lebensversicherungen und Variable Annuities erfreuen sich rasch zunehmender Nachfrage und haben einen großen Anteil am Neugeschäft in Deutschland. Da traditionelle Versicherungsprodukte weiterhin den Großteil an den Beständen der Lebensversicherer ausmachen, konzentrierte sich die Diskussion über die Standardformel zur Berechnung des Solvenzkapitals bisher weitgehend auf ebendiese Produkte. Eine ausführliche Diskussion darüber, wie Solvenzkapital für innovative Lebensversicherungsprodukte im Rahmen der Standardformel berechnet werden kann, ist deshalb erforderlich. -- Innovative life insurance products such as unit-linked life insurance, hybrid life insurance, and variable annuities are rapidly gaining popularity and becoming a major part of new business in Germany. However, since traditional life insurance products still dominate the portfolios of life insurance companies, discussions about the standard formula for determining the solvency capital requirement have focused on this type of business. Any detailed discussion on how to calculate the solvency capital requirement for innovative life insurance products within the standard formula has yet to occur. This paper brings to light some interesting facts about unit-linked business and Solvency II. The modeling of lapses is another focus of research, reflecting the increased importance of lapse risks for innovative life insurance products. Since there are strong concerns about nonlinearities between the various risks, especially between market risk and lapse risk, the paper examines this problem as well. Finally, an alternative method for calculating the net solvency capital requirement, the so-called single equivalent scenario (also referred to as the killer-scenario), is presented.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Article provided by University of Cologne, Department of Risk Management and Insurance in its journal German Risk and Insurance Review (GRIR).

Volume (Year): 6 (2010)
Issue (Month): 2 ()
Pages: 33-70

as in new window
Handle: RePEc:zbw:grirej:68727

Contact details of provider:
Web page:

Related research

Keywords: FLV; Solvency II; Standardformel; single equivalent scenario; dynamisches Storno; unit-linked insurance; Solvency II; standard formula; single equivalent scenario; dynamic policyholder behavior;


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Anna Rita Bacinello, 2003. "Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 461-487.
  2. Bauer, Daniel & Kiesel, Rudiger & Kling, Alexander & Ru[ss], Jochen, 2006. "Risk-neutral valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 171-183, October.
  3. Weiyu Kuo & Chenghsien Tsai & Wei-Kuang Chen, 2003. "An Empirical Study on the Lapse Rate: The Cointegration Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 489-508.
  4. Luca Anzilli & Luigi De Cesare, 2007. "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS 20-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  5. Matthew Elderfield, 2009. "Solvency II: Setting the Pace for Regulatory Change," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 34(1), pages 35-41, January.
  6. Outreville, J. Francois, 1990. "Whole-life insurance lapse rates and the emergency fund hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 9(4), pages 249-255, December.
  7. Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
  8. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 37-57, February.
  9. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
  10. Thomas Steffen, 2008. "Solvency II and the Work of CEIOPS," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 33(1), pages 60-65, January.
Full references (including those not matched with items on IDEAS)


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Fischer, Katharina & Schlütter, Sebastian, 2012. "Optimal investment strategies for insurance companies in the presence of standardised capital requirements," ICIR Working Paper Series 09/12, International Center for Insurance Regulation (ICIR), Goethe University Frankfurt.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:zbw:grirej:68727. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.