Stochastic modeling of Solvency II capital requirements for the lapse risk in a long-term life insurance product
DOI:
https://doi.org/10.26360/2017_4Keywords:
long term insurance contracts, Solvency II internal models, lapse risk, stochastic modellingAbstract
Analysis of the structure of capital requirements within life underwriting sub-module of an example endowment product revealed the importance of lapse risk as a major component. Therefore, the initial solvency capital requirements optimization efforts consist in analyzing the possible reduction of capitals that would correspond to this risk. Results of the analysis indicate that standard formula might not be prudent enough in case of products similar to the studied.
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Copyright (c) 2023 Ewa Dylewska, José Antonio Gil Fana, José Luis Vilar Zanón
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