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<p>Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by Desmettre et al., Int J Theor Appl Finance 25(01):2250005, <CitationRef CitationID="CR11">2022</CitationRef>) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future discretionary benefits in accordance with Solvency&#xa0;II regulation. This ALM model is complimented with aggregated life insurance data to perform a realistic numerical study. This yields numerical evidence for heuristic assumptions which allow to derive estimators of lower and upper bounds for future discretionary benefits. These estimators are applied to publicly available life insurance data.</p>

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Mean-Field Libor Market Model and Valuation of Long Term Guarantees

  • 期刊论文

  • 发表日期：

    2025年3月17日

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  • Florian Gach,
  • Simon Hochgerner,
  • Eva Kienbacher,
  • Gabriel Schachinger

摘要

Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by Desmettre et al., Int J Theor Appl Finance 25(01):2250005, 2022) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future discretionary benefits in accordance with Solvency II regulation. This ALM model is complimented with aggregated life insurance data to perform a realistic numerical study. This yields numerical evidence for heuristic assumptions which allow to derive estimators of lower and upper bounds for future discretionary benefits. These estimators are applied to publicly available life insurance data.