We propose an optimization approach to allocating economic capital, distinguishing between an allocation principle and a measure for the risk residual...

Most life insurance contracts embed the right to stop premium payments during the termof the contract (paid-up option). Thereby, the contract is not terminated but continueswith reduced benefits and often provides the right to resume premium payments later,thus increasing the previously reduced...

This paper looks at markets characterized by the fact that the demand side is insured. In these markets a consumer purchases a good to compensate consequences of unfavorable events, such as an accident or an illness. Insurance policies in most lines of insurance base indemnity on the insured's...

This contribution discusses a number of ideas for using a shareholder value approach to the problems of risk-adjusted performance measurement and the issue of capital allocation. We demonstrate that, if shareholder value is to be consistently maximised, then not only the total amount of equity...

In this paper, we first discuss the characteristics and major benefits of the Swissrisk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance industry is one of the largest institutional investors in Switzerland, changes to its asset and...

The aim of this paper is to study the influence of nonlinear dependencies on a nonlifeinsurers risk and return profile. To achieve this, we integrate several copulamodels in a dynamic financial analysis (DFA) framework and conduct numericaltests within a simulation study. We also test several...

Dynamic financial analysis (DFA) has become an important tool in analyzing thefinancial situation of insurance companies. Constant development and documentationof DFA tools has occurred during the last years. However, several questionsconcerning the implementation of DFA systems have not been...

This paper develops a general continuous-time framework for defining optimal corporate pension policy. Interactions between the firm's optimal investment and financing policies and the defined benefit pension plan optimal portfolio strategy are studied. We prove that the three decision rules are...

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be...