This master's thesis which was written in cooperation with the insurance group die Bayerische deals with interest rate models in an economic scenario generator for the valuation of technical provisions under Solvency II. Die Bayerische has used so far among many other insurance companies a scenario generator that applies the 1-factor Hull-White interest rate model. Since this does not reflect adequately the interest rate structures, a 2-factor Hull-White model or the equivalent G2++ model is to be used in the future. After an introduction to interest rate structures and interest rate derivatives, economic scenario generators and the valuation of technical provisions under Solvency II, this master thesis deals with the theory behind the two interest rate models. Analytical formulas for the price of zero-coupon bonds and swaptions are derived and it is shown how the calibration of the interest rate models is to be implemented in the context of the topic. This is followed by a discussion of the full calibration of the scenario generator which is applied on both interest rate models using current market data. Then, the results of both calibrations will be compared. The results of the calibration are used to generate scenarios which are then subjected to various checks for plausibility and the absence of arbitrage. In the next step, the system analyses whether and to what extent the scenarios differ from the 1-factor Hull-White model and the G2++ model. Additionally, it will be investigated in which way the scenarios have an impact on the valuation of technical provisions. Finally, a decision is made whether it is appropriate to use the G2++ model in the insurance company Die Bayerische.      «

This master's thesis which was written in cooperation with the insurance group die Bayerische deals with interest rate models in an economic scenario generator for the valuation of technical provisions under Solvency II. Die Bayerische has used so far among many other insurance companies a scenario generator that applies the 1-factor Hull-White interest rate model. Since this does not reflect adequately the interest rate structures, a 2-factor Hull-White model or the equivalent G2++ model is to...     »