Life insurance capital regimes in Asia, 4th edition
This report compares and contrasts life insurance RBC regimes across selected Asian markets and highlights potential implications from future regulatory changes in the industry.
Market-consistent economic scenarios are at the core of the valuation of liabilities under Solvency II, certain risk-based capital regimes in Asia, liabilities under IFRS 17, and valuation of market risk benefits under Long Duration Targeted Improvements. As spot market data is a key input of such valuation frameworks, establishing market-consistent but stable long-term volatility assumptions is an increasing challenge. This paper explores options available to insurance companies.
Estimating long-term implied volatility for the valuation of insurance liabilities
This paper explores options available to address the challenge of deriving market-consistent but stable long-term volatility assumptions for valuation of liabilities.