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...