In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer … insurer is assumed to be based in Germany and therefore subject to German regulation as well as to Solvency II regulation. The … then projected forward under stochastic financial markets and stochastic mortality developments. Different scenarios are …

risk margin implicit within the calculation of the technical provisions as defined by Solvency II. The maximum price of …-forwards. The Cairns–Blake–Dowd model is used to represent the evolution of mortality over time that combined with the information …