This article constructs a recovery-based framework for computing the credit Solvency Capital Requirements of insurers under the constant position paradigm. Although this framework is most suited under the Solvency 2 regulation, it also provides concepts that can be useful under the Basel...

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company....

The Internal Auditing & Risk Management is a quarterly peer-reviewed journal started in 2006 by Athenaeum University and The Center of Excellence in Financial Management and Internal Audit and publishes original high-quality papers in the field of management and auditing