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Quantifying the 2027 Solvency II Risk Margin Reform

Khalil, Said et al.
arXiv (OAI Expanded) · Papers
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risk-management
The 2027 Solvency II reform recalibrates the Risk Margin by reducing the prescribed cost-of-capital rate from 6% to 4.75% and introducing a time-dependent attenuation of future Solvency Capital Requirements. This paper develops an analytical and numerical framework for characterizing the effect of t
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