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Solvency II project: economic capital in insurance
Emiliano Pozuelo de Gracia |
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This article exposes the most important implications of the Solvency II – Project for the European insurance industry in general and for the Spanish especially. According to this, the first part of the article describes the most exclusive and specific elements for the determination of the economic capital of the insurance industry according to the principles included in the current project of directive on Solvency II. Also proposes a model for the valuation of the options and embedded guarantees in an insurance policy, as well as the economic capital derived from the risk of subscription, which takes in consideration simultaneously the systematic risk of mortality and term structure risk of interest rates, and satisfies two important requirements for application in practice Analytical tractability and compatibility with financial option pricing models.
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