Ma, Alfred Ka Chun; Cheung, Justina Yuen Ki - In: Journal of Risk Finance 14 (2013) July, pp. 344-352
Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency … available for purchase in the future, the authors study the cash flow matching program under interest rate lattice models …. Originality/value – The paper illustrates the methodology of computing the Solvency Capital Requirement using a dynamic cash flow …