The Solvency II directive asks insurance companies to derive their solvency capital requirement from the full loss distribution over the coming year. While this is in general computationally infeasible in the life insurance business, an application of the Least-Squares Monte Carlo (LSMC) method...

The least-squares Monte Carlo method has proved to be a suitable approximation technique for the calculation of a life insurer's solvency capital requirements. We suggest to enhance it by the use of a neural network based approach to construct the proxy function that models the insurer's loss...

Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational capacities to fully simulate these...

Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational capacities to fully simulate these...

The least-squares Monte Carlo method has proved to be a suitable approximation technique for the calculation of a life insurer's solvency capital requirements. We suggest to enhance it by the use of a neural network based approach to construct the proxy function that models the insurer's loss...

In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the use of a quadratic proxy model. The Solvency II directive requires insurance companies to calculate their SCR based on the complete loss distribution for the upcoming year. Since...

Abstract Helmut Gründl discusses in his paper the effects of the present low interest rate environment on the German life insurance industry. By referring to a recent study of the “International Center for Insurance Regulation”, he assesses insolvency probabilities for life insurers with...