We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...

Optimal risk transfers are derived within an insurance group consisting of two separate legal entities, operating under potentially different regulatory capital requirements and capital costs. Consistently with regulatory practice, capital requirements for each entity are computed by either a...

Intra-group transfers are risk management tools that are usually widely used to optimise the risk position of an insurance group. In this paper, it is shown that premium and liability transfers could be optimally made in such a way as to reduce the amount of Technical Provisions and Minimum...

The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory...

In this paper we discuss the Malliavin differentiability of a particular class of Feller diffusions which we call $\delta$-diffusions. This class is given by \begin{equation*} d\nu_t=\kappa(\theta-\nu_t))dt \eta \nu_t^{\delta}d\mathbb W_t^2, \delta\in[\frac{1}{2},1] \end{equation*} and appears...