Solvency capital requirement for hybrid products
Tóm tắt
In this paper, we propose a partial internal model to determine the solvency capital requirement (SCR) for static and dynamic hybrid products. We present qualitative and quantitative results from several simulation studies for new business portfolios as well as for existing portfolios based on actual and fictitious historical financial market data. Our findings show that hybrid products are mainly exposed to interest rate, equity and lapse risks. Furthermore, we show that the SCR for dynamic hybrid products strongly depends on past financial market fluctuations.
Tài liệu tham khảo
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