Intragroup transfers, intragroup diversification and their risk assessment

DOI10.1007/S10436-016-0284-6zbMATH Open1398.91330arXiv1511.06320OpenAlexW2964325324MaRDI QIDQ2397786FDOQ2397786

Michael Schmutz, Andreas Haier, Ilya S. Molchanov

Publication date: 23 May 2017

Published in: Annals of Finance (Search for Journal in Brave)

Abstract: When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.

Full work available at URL: https://arxiv.org/abs/1511.06320

Recommendations

• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Efficient risk allocation within a non-life insurance group under Solvency II regime
• On the group level Swiss Solvency Test
• Optimal risk transfers in insurance groups
• Group cohesion under individual regulatory constraints

zbMATH Keywords

set-valued risk measuresfungibility risksintragroup diversificationintragroup transactionsrisk assessments for groupssolvency tests for groups

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Cites Work

• Theory of Random Sets
• Set-valued analysis
• Duality for Set-Valued Measures of Risk
• Title not available (Why is that?)
• Markets with transaction costs. Mathematical theory.
• Set-valued risk measures for conical market models
• On convex risk measures on \(L^{p}\)-spaces
• On optimal allocation of risk vectors
• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Inf-convolution of risk measures and optimal risk transfer
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Optimal risk transfers in insurance groups
• Measures of Systemic Risk
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Set-valued average value at risk and its computation
• Optimal risk sharing with non-monotone monetary functionals
• Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
• Optimal risk sharing with different reference probabilities
• Multivariate risks and depth-trimmed regions
• General Pareto Optimal Allocations and Applications to Multi-Period Risks
• Multivariate risk measures: a constructive approach based on selections
• On the group level Swiss Solvency Test

Cited In (6)

• Optimal risk-sharing across a network of insurance companies
• Multi-utility representations of incomplete preferences induced by set-valued risk measures
• Multivariate risk measures in the non-convex setting
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• A supermartingale relation for multivariate risk measures
• Solvency II, or how to sweep the downside risk under the carpet

This page was built for publication: Intragroup transfers, intragroup diversification and their risk assessment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397786)