A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk

@article{Clemente2021ABB,
  title={A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk},
  author={Gian Paolo Clemente and Francesco Della Corte and Nino Savelli},
  journal={Risks},
  year={2021}
}
The aim of this paper is to provide a stochastic model useful for assessing the capital requirement for demographic risk in a framework coherent with the Solvency II Directive. The model extends to the market consistent context classical methodologies developed in a local accounting framework. The random variable demographic profit, defined in literatue under local accounting principles, is indeed analysed in a Solvency II framework. We provide a unique formulation for different non… Expand

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