Optimal investment and premium policies under risk...

Enlace persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP
 
Artículos Artículos Optimal investment and premium policies under risk shifting and solvency regulation - Filipovic, Damir

Colección: Artículos

Título: Optimal investment and premium policies under risk shifting and solvency regulation / Damir Filipovic, Robert Kremslehner, Alexander Muermann

Notas: Sumario: Limited liability creates an incentive for insurers to increase the risk of the assets and liabilities at the expense of policyholders. We show that solvency capital requirements restrict the set of feasible investment and premium policies and can thereby improve efficiency under the risk-shifting problem. This finding becomes particularly important in light of Solvency II, the forthcoming European risk-based solvency regime for insurers. We provide evidence for Solvency IIrelated efficiency effects in a calibration study for a nonlife insurer average portfolio.

Otras clasificaciones: 7

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

Ver detalle del número Ver detalle del número