Mean-field Libor market model and valuation of long term guarantees
Florian Gach,
Simon Hochgerner,
Eva Kienbacher
et al.
Abstract:Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) 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… Show more
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