In this paper, we combine a stochastic pension fund model with a traffic light approach to solvency measurement of occupational pension funds in Switzerland. Assuming normally distributed asset returns, a closed-form solution can be derived. Despite its simplicity, we believe the model comprises...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>In this article, we conduct an in-depth analysis of the impact of private equity investments on the capital requirements faced by a representative life insurance company under Solvency II as well as the Swiss Solvency Test. Our discussion begins with an...</p>

We contribute to the literature by developing a normative theory of the relationship between stock and mutual insurers based on a contingent claims framework. To consistently price policies provided by firms in these two legal forms of organization, we extend the work of Doherty and Garven...

In this paper, we comprehensively analyze the catastrophe (cat) swap, a financial instrument which has attracted little scholarly attention to date. We begin with a discussion of the typical contract design, the current state of the market, as well as major areas of application. Subsequently, a...

Although catastrophe bonds are continuing to gain importance in today's risk transfer and capital markets, little is known about the decision-making processes that drive the demand for this aspiring asset class. In the article at hand, we focus on one segment of the investor community. Our...