Centro de Documentacion de Fundación MAPFRE - A Synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula

MAP20220013321

A Synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula / Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo

Sumario: The aim of this paper is to introduce a synthetic ALM model that catches the key features of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a determination of the crediting rate to policyholders that is close to practice and is a trade-off between the regulatory rate, a competitor rate and the available profits. Third, it considers an investment in bonds that enables to match a part of the cash outflow due to surrenders, while avoiding to store the trading history. We use this model to evaluate the Solvency Capital Requirement (SCR) with the standard formula, and show that the choice of the interest rate model is important to get a meaningful model after the regulatory shocks on the interest rate. We discuss the different values of the SCR modules first in a framework with moderate interest rates using the shocks of the present legislation, and then we consider a low interest framework with the latest recommendation of the EIOPA on the shocks. In both cases, we illustrate the importance of matching cash-flows and its impact on the SCR.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/12/2020 Volúmen 10 - Número 2 - diciembre 2020 , p. 457-498

1. Seguro de vida . 2. Modelos actuariales . I. Título.