Participating life insurances in an equity-Libor market model

Donatien Hainaut () and Laurent Devineau
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Donatien Hainaut: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2025017, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: This article introduces an equity-LIBOR Market Model (LMM) that integrates the investment strategy into the valuation process of participating life insurance policies. Within this framework, we consider bond portfolios rebalanced across multiple maturities and 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.

Keywords: Libor market model; life insurance; asset-liability management (search for similar items in EconPapers)
Pages: 30
Date: 2025-04-07
Note: In: European Actuarial Journal, 2025, vol. 15 (2), p. 381-415
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2025017

DOI: 10.1007/s13385-025-00414-x

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