Internal models can cut capital requirements for longevity and mortality risk – RMS

mathematics

Using an internal model for longevity and mortality risk could significantly reduce the capital requirements for Solvency II, according Risk Management Solutions (RMS). RMS estimates that an insurer using an internal capital model for longevity risk could reduce the capital requirements by as much as a 2%, compared with the standard model. In addition, the capital requirements for mortality risk would fall by around 5% if an internal model was used. RMS quantified longevity and mortality risk

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