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Impact of credit data for the valuation of insurance liabilities
12 July 2023 - by Pierre-Edouard Arrouy, Emmanuel Avril, David Baranes (S&P Global), Adrien Cortes, Rashi Garg (S&P Global), Leo Tondolo
In the valuation of insurance liabilities, using high-quality credit data reduces the need for excessive constraints in the calibration process.