Testing Interest Rate Models for Solvency II Applications
Insurance Risk, 2016, February Issue
Posted: 22 Sep 2016
Date Written: January 14, 2016
Abstract
Interest rates are one of the main risk factors for insurance companies. Both assets and liabilities react to the movement of interest rates. Therefore, it is essential to have an adequate model of interest rates for Solvency II applications. Here, we address some of the existing issues under the Solvency II framework, and take a deeper look at internal models for interest rates and the ways in which it can be demonstrated that these models are fit for purpose.
Keywords: Solvency II, interest rates, validation, back-testing, insurance risk
JEL Classification: G20, G22, G23, G28
Suggested Citation: Suggested Citation
Ostrovski, Vladimir and Botvinnik, Alexey, Testing Interest Rate Models for Solvency II Applications (January 14, 2016). Insurance Risk, 2016, February Issue, Available at SSRN: https://ssrn.com/abstract=2727906
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