OpenIRM: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting
OpenIRM: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting / Mark-Oliver Wolf ... [et al.]Sumario: The article presents openIRM, a publicly accessible internal risk model for an artificial life insurance company, designed for the analysis and comparison of actuarial methods within the Solvency II framework. The model integrates economic simulation, asset-liability management, and cash-flow projection to calculate available capital and the solvency capital requirement. The direct and indirect valuation methods are developed and compared, and their convergence is theoretically demonstrated under certain assumptions. The system is calibrated using real market data and allows for the analysis of the temporal dynamics of capital and the SCR. The work provides an open tool for research, teaching, and benchmarking of nested simulation techniques and advanced actuarial modelsEn: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 13/04/2026 Número 16 issue 1 - abril 2026 , 58 p.1. Modelos actuariales. 2. Solvencia II. 3. Capital económico. 4. Simulación Monte Carlo. 5. Seguros de vida riesgo. I. Wolf, Mark-Oliver. II. Springer.
