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