Why does the Solvency II SF include 25% correlation between longevity and lapse risk and zero correlation between mortality and lapse risk? Shouldn't it be the other way round since annuities don't allow lapse and lapses in term assurance can be selective?
CEIOPS-L2-Advice-Correlation-Parameters (europa.eu) I thought this was an interesting question! See section 3.1.4 in the link.
