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F08: Prudential and Solvency II - internal model calibration challenges for with-profits

Author:
Will Machin; Nick Warr
Source:
Life Conference and Exhibition, 20 - 22 November 2011
Publication date:
20 November 2011
File:
PDF 233.91 KB
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Document description

Using advanced stochastic techniques developed over the last few years, Prudential can calculate sensitivities and project its balance sheet and capital requirements, as required for Solvency II.  We discuss the techniques, Prudential’s experiences, and the practical alternatives available.