CEIOPS' Advice for Level 2 Implementing ... - EIOPA - Europa
CEIOPS' Advice for Level 2 Implementing ... - EIOPA - Europa
CEIOPS' Advice for Level 2 Implementing ... - EIOPA - Europa
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
UMRU,lob,≥0 = max{∑ ≤ t Durmod<br />
-n<br />
t≥0<br />
= max{∑ ≤ t<br />
Durmod<br />
-n<br />
t≥0<br />
UM(int,t) ; 0}<br />
BENet(0)·(Durmod–n–t)·∆rn; 0}<br />
=max{0.5·BENet,lob(0)·(Durmod,lob–n) (Durmod,lob–n+1)·∆rn; 0}<br />
D.8. Note that – apart from approximating the yearly capital charge <strong>for</strong> unavoidable<br />
market risk – further simplifications have been introduced by<br />
summing the estimated capital charges without taking into account the<br />
time value of money, i.e. the estimated capital charges <strong>for</strong> unavoidable<br />
market risk at time t are summed without discounting them with the riskfree<br />
interest rate curve.<br />
103/112<br />
© CEIOPS 2010