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

DOI10.1016/J.INSMATHECO.2009.05.003MaRDI QIDQ659102zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

regulationsolvencynon-life insuranceinvestment performancenormal power approximation

Mathematics Subject Classification ID

Recommendations

• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Solvency of life insurance companies: methodological issues
• Capital allocation and RORAC optimization under Solvency 2 standard formula
• A simulation model for calculating solvency capital requirements for non-life insurance risk
• Capital requirements and optimal investment with solvency probability constraints

Cites work

• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• A synthesis of risk measures for capital adequacy
• A theory of risk, return and solvency
• Arbitrage Theory in Continuous Time
• Asset and liability modelling for participating policies with guarantees
• Coherent measures of risk
• Computing efficient frontiers using estimated parameters
• Expected shortfall and beyond
• Solvency
• The Determination of Partial Moments

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

This page was built for publication: Minimum standards for investment performance: a new perspective on non-life insurer solvency

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659102)