We describe a top-down procedure for the supervisory accounting of insurance companies with special emphasis on market impacts. The technical tools are a multiperiod risk assessment, a market consistent best estimate and an eligible asset. First, to avoid supervisory arbitrage by financial...

This paper aims at providing a mathematical foundation for the terms of the well spread supervisory rule 'initial market value of assets must be at least equal to provision plus solvency capital'.It starts with a risk-adjusted assessment - given by a set of test probabilities - of the future...

We examine the ingredients of Solvency II, namely its free capital, provision and solvency capital requirement. They are of course linked by the accounting equality but we claim that they should be more deeply related to each other since solvency naturally should require positivity of available...

This paper is an attempt to study fundamentally the valuation of insurance contracts. We start from the observation that insurance contracts are inherently linked to financial markets, be it via interest rates, or – as in hybrid products, equity-linked life insurance and variable annuities –...