Application of a simplified method to calculate Solvency II risk margin to Japanese products
01 March 2009
New approaches to quantify required capital for insurers are emerging, many based on economic value of capital with market-consistent valuation. A mark-to-model method is used where a so-called risk margin needs to be evaluated in addition to the present value of future cash flow discounted with risk-free rates. This paper reviews the application of a simplified method to calculate Solvency II risk margin to Japanese products.
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