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Optimal capital and risk transfers for group diversification

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2008

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Filipović, Damir

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https://doi.org/10.1111/j.1467-9965.2007.00322.x
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Mathematical Finance. 2008, 18(1), pp. 55-76. ISSN 0960-1627. eISSN 1467-9965. Available under: doi: 10.1111/j.1467-9965.2007.00322.x

Zusammenfassung

Diversification is at the core of insurance and other financial business. It constitutes an important issue in the preparation of the new Solvency II framework for the regulation of European insurance undertakings. In this paper, we propose a conceptual framework for a legally enforceable capital and risk transfer which optimally accounts for the designated group diversification benefits. We also provide a consistent valuation principle which is compatible with any prior valuation method. This makes our framework fully flexible and universally applicable. A first simple numerical example illustrates the practicability of our proposal.

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510 Mathematik

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ISO 690FILIPOVIĆ, Damir, Michael KUPPER, 2008. Optimal capital and risk transfers for group diversification. In: Mathematical Finance. 2008, 18(1), pp. 55-76. ISSN 0960-1627. eISSN 1467-9965. Available under: doi: 10.1111/j.1467-9965.2007.00322.x
BibTex
@article{Filipovic2008-01Optim-40915,
  year={2008},
  doi={10.1111/j.1467-9965.2007.00322.x},
  title={Optimal capital and risk transfers for group diversification},
  number={1},
  volume={18},
  issn={0960-1627},
  journal={Mathematical Finance},
  pages={55--76},
  author={Filipović, Damir and Kupper, Michael}
}
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