The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capitalrequirements imposed by regulatory authorities. In particular, we compare target capital derived using the value at risk concept as planned for Solvency II in the European...

Operational risk can substantially impact an insurer’s risk situation and is now increasingly in the focus of insurance companies, especially due to new European risk-based regulatory framework Solvency II. The aim of this paper is to model and examine the effects of operational risk on fair...