Abstract:
We introduce , the Internal Risk Model of an artificial life insurer, designed to allow an easy benchmarking of nested simulation techniques for Solvency Capital Requirement ( ) estimation under Solvency II and other actuarial methods. integrates an economic scenario generator and a cash flow projection model, enabling the computation of the available capital (basic own funds) through both the direct and indirect method. Leveraging a two-factor Gaussian model for stochastic short rates and a generalized Black-Scholes model for stock dynamics, the framework supports policyholder investments via guaranteed minimum-income benefit contracts. We extend the asset-liability management model by Diehl et al. (EAJ 13(1), 2022), and prove the theoretical convergence of the direct and indirect method under appropriate assumptions. Calibrated using interest rate caps from 2016 to the end of 2023, allows estimation of available capital distributions and dynamics for each trading day in that range. The source code of written in MATLAB is publicly available on gitlab at https://gitlab.cc-asp.fraunhofer.de/itwm-fm-lv-public/openirm . We also provide standalone executables that, after installation, can be accessed via the command line interface or with the provided wrappers in R , Python and MATLAB .
