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The impact of the underlying interest rate process

Udgave: 4 / 2014 | Kategori: Forsikringsteknik | Forfatter: Johan Dellner

Insurance companies use different types of interest rate models for the same type of valuation, the valuation of the time value of options and guarantees (TVOG). This paper aims to explain and examine the impact of using Three underlying interest rate model when generating the economic scenarios used for the valuation. These processes are all used in the insurance industry and fulfill to a certain extent the market consistency and risk neutrality required by EIOPA under Solvency II.