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 Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...
