Berdin, Elia; Gründl, Helmut; Kubitza, Christian - 2017 - This version: July 2017
This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on the liquidity and solvency of life insurers. We model the book and market value balance sheet of an average German life insurer, subject to both GAAP and Solvency II regulation,...
