Testing Interest Rate Models for Solvency II Applications

Insurance Risk, 2016, February Issue

Posted: 22 Sep 2016

See all articles by Vladimir Ostrovski

Vladimir Ostrovski

Talanx Asset Management

Alexey Botvinnik

Conning Asset Management

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

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

Vladimir Ostrovski (Contact Author)

Talanx Asset Management ( email )

Charles-de-Gaulle-Platz 1
Cologne, DE NRW 50679
Germany

Alexey Botvinnik

Conning Asset Management ( email )

Norbertstr. 29
D-50670 Cologne
Germany

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