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Participating life insurances in an equity-Libor Market Model

Author

Listed:
  • Hainaut, Donatien

    (Université catholique de Louvain, LIDAM/ISBA, Belgium)

  • Devineau, Laurent

    (Detralytics)

Abstract

This article introduces an Equity-Libor Market Model (LMM) that integrates the investment strategy into the valuation process of participating life insurance. Within this framework, we provide a semi-analytical formula for approximating the fair value of liabilities. We then investigate the impact of the investment policy on the net asset value and the solvency capital requirement. To carry out this analysis, we propose a Monte Carlo method for generating sample paths under both Libor and real measures, alongside an estimation procedure under the real measure. The numerical illustration focuses on the asset-liability management of an endowment and a life annuity.

Suggested Citation

  • Hainaut, Donatien & Devineau, Laurent, 2024. "Participating life insurances in an equity-Libor Market Model," LIDAM Discussion Papers ISBA 2024015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2024015
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    References listed on IDEAS

    as
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    6. Devolder, Pierre & Lebegue, Adrien, 2016. "Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances," LIDAM Discussion Papers ISBA 2016023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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