Modelling the asset portfolio for Solvency II

Asset to the system

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For the first time Solvency II will bring a capital charge to assets as well as liabilities. Under current regulations, an insurer’s investment strategy has had no impact on its solvency ratio. But investment strategy in terms of asset allocation and asset duration is about to have a significant bearing on capital requirements. In addition, the diversification credit under Solvency II will allow insurers to invest in a broader range of assets. As a consequence, insurers that want to take the

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