On the group level Swiss Solvency Test

MaRDI QIDQ2801414zbMATH OpenFDO

Authors Damir Filipović, Michael Kupper

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=12

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Intragroup transfers, intragroup diversification and their risk assessment
• Optimal risk transfers in insurance groups
• A note on the Swiss solvency test risk measure
• Efficient risk allocation within a non-life insurance group under Solvency II regime

Cited in

(3)

• Optimal risk-sharing across a network of insurance companies
• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Intragroup transfers, intragroup diversification and their risk assessment

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