Robust evaluation of SCR for participating life insurances under Solvency II

Donatien Hainaut*, Pierre Devolder, Antoon Pelsser

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

4 Citations (Web of Science)

Abstract

This article proposes a robust framework to evaluate the solvency capital requirement (scr) of a participating life insurance with death benefits. The preference for robustness arises from the ambiguity caused by the market incompleteness, model shortcomings and parameters misspecifications. To incorporate the uncertainty in the procedure of evaluation, we consider a set of potential equivalent pricing measures in the neighborhood of the real one. In this framework, closed form expressions for the net asset value (nav) and for its moments are found. The scr is next approximated by the value at risk of gaussian or normal inverse gaussian (nig) random variables, approaching the nav distribution and fitted by moments matching.
Original languageEnglish
Pages (from-to)107-123
Number of pages17
JournalInsurance: Mathematics and Economics
Volume79
DOIs
Publication statusPublished - Mar 2018

Keywords

  • Solvency II
  • Robustness
  • ORSA
  • Life insurance
  • Capital requirement

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