||The thesis study on quantitative analysis of solvency II in insurance liquidation supervision system - taking home reverse mortgage for example. No negative equity guarantees (NNEG) is the difference which outstanding liability is lower than housing price when the home reverse mortgage contract expires. This difference is usually borne by a financial company or government and is a major risk for this contract. The thesis focus on the impact of housing prices and mortality on this risk, and use UK data for quantitative analysis. In the thesis, the ARMA-GARCH and VAR models are first used to simulate the trend of housing price return, forecast the trend of housing price, and compare the fitness of these two models with each other. Second, Lee-Carter (1992) model is used as a mortality model. This model can measure the phenomenon of prolonged life. Finally, the thesis combines the housing price model with the mortality model for quantitative analysis, analyzing the impact or trend of different gender, age, and loan to reverse on best estimate, risk margin and solvency capital requirement. There are four main conclusions of this study. First, not considering the phenomenon of prolonged life will underestimate the quantitative number. Second, solvency capital requirement is mainly from the impact of housing price shock. Third, quantitative numbers on female are slightly higher than numbers on male. Fourth and last, different housing price models have significant differences in quantitative number.|
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