The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

In the last few years, the first theoretical foundations for replicating portfolios (probably the most prevailing technique for risk capital calculation in life insurance) have been given in a series of papers by Beutner et al. (2015), Pelsser and Schweizer (2015) and Beutner et al. (2013). We...

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note, we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

Jan Natolski behandelt die Problematik der Quantifizierung des Risikokapitals aus einer theoretischen Perspektive, die in wertvolle Impulse für die praktische Handhabung mündet. Dies ist ein wichtiger Schritt, da Versicherungsunternehmen durch die Richtlinie Solvency II verpflichtet sind,...