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 plays a considerable role for deriving the...

Purpose – The purpose of this paper is to illustrate the importance of modeling parameter risk in premium risk, especially when data are scarce and a multi-year projection horizon is considered. Internal risk models often integrate both process and parameter risks in modeling reserve risk,...

Purpose – The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance companies are exposed to in a balance-sheet perspective. In...

Purpose – The purpose of this paper is to illustrate the importance of modeling parameter risk in premium risk, especially when data are scarce and a multi-year projection horizon is considered. Internal risk models often integrate both process and parameter risks in modeling reserve risk,...

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 plays a considerable role for deriving the...

Purpose–The purpose of this paper is to build an easy to implement, pragmatic and parsimonious yet accurate model to determine an exposure at default (EAD) distribution for CCL (contingent credit lines) portfolios. Design/methodology/approach–Using an algorithm similar to the basic...

Purpose – This paper aims to investigate the interaction between capital requirements and pricing constraints as measures for insurance regulation. Design/methodology/approach -In a theoretical model framework, the author derives the insurer’s shareholder-value-maximizing response to capital...