Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
-pricing theory; the diversification benefit on the solvency capital is calculated based on the tail value at risk approach …The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and …, which is the reduction in shareholder value due to group diversification effects. It is quantified using option …