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4

Well, 2 answers I knew right away :-) d) That depends on what is insured. In classical life insurance (person gets sum insured in case of death only) one risk would be large catastrophes with many insured people involved (like 9/11, for example). A "larger" risk is, as you said, change in interest rate, though. In Germany (I don't know about other ...


4

Barrie and Hibbert might provide some help - they have a reputation based on understanding insurance risks http://www.barrhibb.com/research_and_insights


3

Swaps are used for hedging purposes against directional rates movements (insurance companies hold loads of fixed income instruments and are thus hugely exposed to overall rate levels, depending on holding period and portfolio turnover) and to insure against inflation (insurance firms receive fixed premium payments), to target portfolio duration This ...


3

In my opinion "risk-free rate" and "of Solvency II" are still not entirely defined terms. This is why the answer to your question is not entirely defined as well. As Solvency II is not yet in force the only specific information available is from the various impact studies and subject to change. The most recent impact study is the LTGA. You find the specs for ...


2

It depends on the exact nature of the risk in question as well as the mandate of the options desk at the bank. Generally such products are "created" and hedged at exotic option sell-side desks. There are a myriad of different kinds of risk the bank and hence the insurance company may offer their clients insurance against. It could range from inflation risk, ...



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