A market consistent framework for the fair evaluation of insurance contracts under Solvency II

Abstract

Solvency II directive is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, including the financial options embedded in life with-profit funds. The robustness of these valuations... [ view full abstract ]

Authors

  1. Anna Maria Gambaro (Università del Piemonte Orientale)
  2. Gianluca Fusai (Cass Business School, City, University of London)
  3. Riccardo Casalini (UnipolSai Assicurazioni S.p.A.)
  4. Alessandro Ghilarducci (Deloitte Consulting Srl)

Topic Areas

Credit Risk , Insurance , Options

Session

MO-P-B1 » Insurance (14:30 - Monday, 16th July, Beckett 1)

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