Ka Chun Ma, Alfred; Yuen Ki Cheung, Justina - In: The Journal of Risk Finance 14 (2013) 4, pp. 344-352
. Originality/value – The paper illustrates the methodology of computing the Solvency Capital Requirement using a dynamic cash flow …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 …