Market-consistent valuation of a pension product with guarantee in line with Solvency II : An applied case study to improve knowledge about how rationality and stressed conditions with respect to market- and insurance risk will impact the balance sheet.
Berg, Isak; Stadig, Richard;
Publisher: Umeå universitet, Institutionen för matematik och matematisk statistik
Subject: Risk management | Insurance | Best estimate | Valuation
Traditional pension products have today been replaced by products that are linked directly to the unit value of some kind of investment portfolio. These products contribute to more vulnerable situations for insurance companies in terms of uncertainties of future obligat... View more