The capital-on-capital cost in solvency II risk margin
Anna Maria Gambaro
Abstract:This work contributes to the literature on time consistent valuation of insurance liabilities and to the ongoing discussion on revisions of risk margin (RM) calculation, by formally defining the concept of capital-on-capital cost. We describe the capital-on-capital as the amount required to cover unexpected variations in future regulatory capitals from the current time to liabilities maturity. That is, the capital-on-capital cost is the RM component dedicated to cover the risk of future RMs and not to cover va… Show more
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