Solvency assessment within the ORSA framework: issues and quantitative methodologies
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In a life insurance society framework, the intuitive approaches to answer this problem can sometimes lead to new implementation issues linked to the highly stochastic nature of the methodologies used to project a company Net Asset Value over several years. One alternative approach can be the use of polynomial proxies to replicate the outcomes of this variable throughout the time horizon. Polynomial functions are already considered as efficient replication methodologies for the Net Asset Value over 1 year. The Curve Fitting and Least Squares Monte-Carlo procedures are the best-known examples of such procedures. In this article we introduce a possibility of adaptation for these methodologies to be used on a multi-year time horizon, in order to assess the Overall Solvency Needs.
|Date of creation:||22 Oct 2012|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00744351v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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.:
- Didier Rullière & Stéphane Loisel, 2004.
"Another look at the Picard-Lefèvre formula for finite-time ruin probabilities,"
- Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
- Francis X. Diebold & Canlin Li, 2002.
"Forecasting the Term Structure of Government Bond Yields,"
Center for Financial Institutions Working Papers
02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2003. "Forecasting the Term Structure of Government Bond Yields," NBER Working Papers 10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print hal-00403662, HAL.
- Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.
When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00744351. 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: (CCSD)
If references are entirely missing, you can add them using this form.