5.2.2. Discussion on Impact

The impact on the SCR is significant, with a maximum absolute difference of over 50%. Moreover, the difference appears to be structural over time, with a mean absolute difference of almost 30%. The results in Figure 5 also contain some stylized facts that we have already seen in Figure 4 and we discuss them by distinguishing different time periods:


The difference between the future and future VIX measures is small. This means that the expected liabilities at *t* = 1 are almost equal under both measures, indicating the accuracy of the regression model, at least for the realized states of the market. Under the assumption that the simulated markets behave similar to historical observations, this means that expected liabilities at *t* = 1 under the time-dependent measure will be in line with the simulated states of the market.

Finally, we also mention that we performed a very similar study for the GMWB product. Essentially, the same results were obtained in that case, however, the impact was somewhat less severe.
