City Research Online

Abstract

The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds. The robustness of these valuations is crucial for insurance companies in order to produce sound estimates and good risk management strategies, in particular, for liability-driven products such as with-profit saving and pension funds. This paper introduces a Monte Carlo simulation approach for evaluation of insurance assets and liabilities, which is more suitable for risk management of liability-driven products than common approaches generally adopted by insurance companies, in particular, with respect to the assessment of valuation risk.

Publication Type:	Article
Additional Information:	This is a post-peer-review, pre-copyedit version of an article published in Decisions in Economics and Finance. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10203-019-00242-1.
Publisher Keywords:	Solvency II, Economic scenario generato,r Minimum guaranteed option, Sensitivity analysis
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance
SWORD Depositor:	Symplectic Administrator

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