risk margin implicit within the calculation of the technical provisions as defined by Solvency II. The maximum price of …-forwards. The Cairns–Blake–Dowd model is used to represent the evolution of mortality over time that combined with the information …

annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …, including an application to partial internal models under Solvency II, using Austrian and Australian data are shown. …