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Article . 2012 . Peer-reviewed

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Solvency II Shocks in Life Reinsurance

Name: Solvency II Shocks in Life Reinsurance
Creator: Nikolaos Georgiopoulos
Keywords: 3. Good health

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2012Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Nikolaos Georgiopoulos;

doi: 10.2139/ssrn.2064636

Solvency II Shocks in Life Reinsurance

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Abstract

In this paper I present simplifications on how Solvency II mortality and lapse shocks should be performed in life reinsurance. I present an individual and collective risk model approach to model mortality and lapse risks repsectively. I extract closed form solutions for best estimates and where possible for SCRs.

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