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...

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...