index. Our analysis with a local version of the model showed that the assumptions of the Lee-Carter model are not fully … pricing and solvency questions of a pension portfolio. The first study covers a single cohort of different sizes, and the … measurement methodology in insurance and finance applications. For instance, it underlies the solvency capital requirement in …

Sufficient solvency of a pension insurance company responsible for defined-benefit pensions guarantees that the … required level of solvency capital (solvency limit) and its computation are specified in the statutes. Before the solvency … solvency limit is computed on the basis of this classification and the average return, volatility and correlation parameters …

liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes …

This study utilises payment system data to analyse market participants’ liquidity usage and to trace interest rates … paid on overnight loans. Our aim is to examine how liquidity usage has changed during the years 2006–2/2011 and to combine … used in the analysis produces overnight interest rates that correlate very closely with the EONIA curve. Based on Finnish …

effective in reducing queuing in the systems at all levels of liquidity, but in particular when intra-day liquidity is scarce. …

firms that are facing solvency shocks. We apply their framework to banking and extend the framework to admit the analysis of …We study the long standing issue of whether markets can supply banks with sufficient liquidity or whether markets … model of Holmström and Tirole (1998) on the supply of liquidity to firms. H&Ts original model analyses liquidity supply to …

speeding up the processing and settlement of payments. In a real-time environment banks face new challenges in liquidity … management. They need to plan for intraday as well as interday fluctuations in liquidity. By employing various types of hybrid … settlement structures, banks may be able to even out intraday fluctuations in liquidity demand. The aim of this study is to …