Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and … insolvency risk in a parent-subsidiary relationship. To better assess the effects, we compare this setting to the case of a …-pricing theory; the diversification benefit on the solvency capital is calculated based on the tail value at risk approach …