Minimum standards for investment performance: a new perspective on non-life insurer solvency

DOI10.1016/J.INSMATHECO.2009.05.003zbMATH Open1231.91181OpenAlexW1986311579MaRDI QIDQ659102FDOQ659102

Authors: Martin Eling, Nadine Gatzert, Hato Schmeiser 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.003

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zbMATH Keywords

regulationsolvencynon-life insuranceinvestment performancenormal power approximation

Mathematics Subject Classification ID

Cites Work

• Coherent measures of risk
• Arbitrage Theory in Continuous Time
• Expected shortfall and beyond
• A theory of risk, return and solvency
• Computing efficient frontiers using estimated parameters
• Asset and liability modelling for participating policies with guarantees
• Title not available (Why is that?)
• A synthesis of risk measures for capital adequacy
• The Determination of Partial Moments
• Solvency

Cited In (10)

• Risk aggregation in non-life insurance: standard models vs. internal models
• Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
• Risk- and value-based management for non-life insurers under solvency constraints
• Concave distortion risk minimizing reinsurance design under adverse selection
• Internal vs. External risk measures: how capital requirements differ in practice
• The influence of non-linear dependencies on the basis risk of industry loss warranties
• Portfolio optimization under solvency constraints: a dynamical approach
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• The impact of dependencies between climate risks on the asset and liability side of non-life insurers
• Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions

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