Publikation: On the Group Level Swiss Solvency Test
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2007
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Filipovic, Damir
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Mitteilungen / Schweizerische Aktuarvereinigung = Bulletin / Swiss Association of Actuaries. 2007, 2007(1), pp. 97-115. ISSN 1022-5617. eISSN 1423-3657
Zusammenfassung
In this paper we elaborate on Swiss Solvency Test (SST) consistent group diversification effects via optimizing the web of capital and risk transfer (CRT) instruments between the legal entities. A group level SST principle states that subsidiaries can be sold by the parent company at their economic value minus some minimum capital requirement. In a numerical example we examine the dependence of the optimal CRT on this minimum capital requirement. Our findings raise the question of how to actually implement this group level SST principle and how to define the respective level of minimum capital requirements, in particular.
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FILIPOVIC, Damir, Michael KUPPER, 2007. On the Group Level Swiss Solvency Test. In: Mitteilungen / Schweizerische Aktuarvereinigung = Bulletin / Swiss Association of Actuaries. 2007, 2007(1), pp. 97-115. ISSN 1022-5617. eISSN 1423-3657BibTex
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title={On the Group Level Swiss Solvency Test},
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