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Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...
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Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...
Persistent link: https://www.econbiz.de/10010815078