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

Author

Listed:
  • Florian Gach

    (Austrian Financial Market Authority (FMA))

  • Simon Hochgerner

    (Austrian Financial Market Authority (FMA))

  • Eva Kienbacher

    (Oberösterreichische Versicherung AG)

  • Gabriel Schachinger

    (Austrian Financial Market Authority (FMA))

Abstract

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.

Suggested Citation

  • Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2025. "Mean-Field Libor Market Model and Valuation of Long Term Guarantees," Methodology and Computing in Applied Probability, Springer, vol. 27(2), pages 1-43, June.
    • Handle: RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10146-w
    DOI: 10.1007/s11009-025-10146-w
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