Martin, Michael - In: Journal of Risk Finance 14 (2013) May, pp. 200-233
Purpose – Interest rate risk, i.e. the risk of changes in the interest rate term structure, is of high relevance in … insurers' risk management. Due to large capital investments in interest rate sensitive assets such as bonds, interest rate risk … data. Findings – The results show that, in general, the SCR for interest rate risk derived from the standard model of …