Expert papers

How the matching adjustment helps insurers in a crisis

Daily solvency monitoring offers valuable insights into an insurers' risk profile and its regulatory capital requirements – and demonstrates the potential power of the matching adjustment. Matthew Cocke, Russell Osman and Russell Ward explain

Using least-squares Monte Carlo in a multi-year context

A year ago on this site, Michael Leitschkis and Mario Hoerig explained the advantages of least-squares Monte Carlo (LSMC) over other proxy modelling techniques for estimating capital. Here, with Florian Ketterer and Christian Bettels, they describe how to extend a one-year application of LSMC to scenarios of several years

Searching for the right proxy approaches to life

Care has to be taken in using replicating portfolio techniques, least-squares Monte Carlo approaches and curve fitting for estimating the risk capital of a life insurer, as Tigran Kalberer and Zeljko Strkalj explain

Could Reversible Jump Markov Chain Monte Carlo transform claims reserves valuation?

Insurers increasingly require highly robust stochastic models to obtain credible valuations of their outstanding claims reserves. This is particularly true for firms subject to the EU's Solvency II regulations. The Reversible Jump Markov Chain Monte Carlo method has many advantages over traditional approaches such as the chain ladder, say Marion Gremillet, Pierre Miehe and José Luis Vilar

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Determining longevity trend risk under Solvency II

Stephen Richards, Iain Currie and Gavin Ritchie describe a framework for determining how much a longevity liability might change based on new information over the course of one year. The framework can accommodate a wide choice of stochastic projection models, thus allowing the user to explore the importance of model risk