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Stochastic Solvency Testing in Life Insurance

Hayes, Genevieve Katherine


... ¶ The purpose of this thesis is to develop a realistic solvency testing model in a form that can be implemented by Australian Life Insurers, in anticipation that the Australian insurance regulator, APRA, will ultimately follow the world trend and require stochastic solvency testing to be carried out in Australia. The model is constructed from three interconnected stochastic sub-models used to describe the economic environment and the mortality and lapsation experience of the portfolio of...[Show more]

CollectionsOpen Access Theses
Date published: 2008
Type: Thesis (PhD)
DOI: 10.25911/5d7a2c4c8ced8


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