A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula

The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a determination of the crediting rate to policyholders th...

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Veröffentlicht in:	European actuarial journal 2020
Hauptverfasser:	Alfonsi, Aurélien, Cherchali, Adel, Acevedo, Jose Arturo Infante
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics Probability
Online-Zugang:	Volltext
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