A Market Consistent Framework for the Fair Evaluation of Insurance Contracts Under Solvency II

36 Pages Posted: 2 Feb 2018 Last revised: 29 Apr 2018

See all articles by Anna Gambaro

Anna Gambaro

University of Piemonte Orientale

Riccardo Casalini

UnipolSai Assicurazioni SpA

Gianluca Fusai

Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa; Sir John Cass Business School - City, University of London

Alessandro Ghilarducci

Deloitte Consulting Srl

Date Written: April 23, 2018

Abstract

The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, including the financial options and guarantees embedded in life with-profit funds. The robustness of these valuations is crucial for insurance companies in order to produce sound estimates and good risk management strategies, in particular for liability driven products such as with-profit saving and pension funds. This paper introduces a simulation approach for Monte Carlo evaluation of insurance assets and liabilities, which is more suitable for risk management of liability driven products than common approaches generally adopted by insurance companies, in particular with respect to the assessment of valuation risk.

Keywords: Solvency II, economic scenario generator, minimum guaranteed option, sensitivity analysis

JEL Classification: C0

Suggested Citation

Gambaro, Anna and Casalini, Riccardo and Fusai, Gianluca and Ghilarducci, Alessandro, A Market Consistent Framework for the Fair Evaluation of Insurance Contracts Under Solvency II (April 23, 2018). Available at SSRN: https://ssrn.com/abstract=3109735 or http://dx.doi.org/10.2139/ssrn.3109735

Anna Gambaro (Contact Author)

University of Piemonte Orientale ( email )

Dipartimento di Studi per l'Economia e l'Impresa
Via E. Perrone, 18
Novara, 28100

Riccardo Casalini

UnipolSai Assicurazioni SpA ( email )

Via Stalingrado 45
Bologna, 40128
Italy

Gianluca Fusai

Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa ( email )

Via Perrone, 18
Novara, 28100
Italy

HOME PAGE: http://https://upobook.uniupo.it/gianluca.fusai

Sir John Cass Business School - City, University of London ( email )

106 Bunhill Row
London, EC2Y 8HB
Great Britain

HOME PAGE: http:// www.cass.city.ac.uk/experts/G.Fusai

Alessandro Ghilarducci

Deloitte Consulting Srl ( email )

Via Tortona 25
Milano, 20144
Italy

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