The aim of this paper is to introduce a synthetic ALM model that catches the key features of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a determination of the crediting rate to policyholders that is close to practice and is a trade-off between the regulatory rate, a competitor rate and the available profits. Third, it considers an investment in bonds that enables to match a part of the cash outflow due to surrenders, while avoiding to store the trading history. We use this model to evaluate the Solvency Capital Requirement (SCR) with the standard formula, and show that the choice of the interest rate model is important to get a meaningful model after the regulatory shocks on the interest rate. We discuss the different values of the SCR modules first in a framework with moderate interest rates using the shocks of the present legislation, and then we consider a low interest framework with the latest recommendation of the EIOPA on the shocks. In both cases, we illustrate the importance of matching cash-flows and its impact on the SCR.

本文的目的是介绍一个综合性ALM模型，该模型可捕捉人寿保险合同的关键特征。首先，它跟踪市场和账面价值以应用监管利润分配规则。其次，它引入了对保单持有人的计入利率的确定，该确定与实践非常接近，并且是在监管利率，竞争者利率和可用利润之间进行权衡的。第三，它考虑了对债券的投资，该投资能够弥补由于投降而导致的部分现金流出，同时避免存储交易历史记录。我们使用该模型以标准公式评估偿付能力资本要求（SCR），并表明，利率模型的选择对于在监管机构对利率造成冲击后获得有意义的模型非常重要。我们首先使用当前立法的冲击力在一个利率适中的框架中讨论SCR模块的不同价值，然后再考虑EIOPA关于冲击力的最新建议的低利率框架。在这两种情况下，我们都说明了匹配现金流的重要性及其对SCR的影响。