In addition to premiums, investment income is one of the two main sources of capital for property-casualty (P/C) insurance companies. This study investigates short-term equity trading behavior of P/C insurers in the United States in 2007 and 2008, and finds that over 27 percent of non-group...

We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents...

The aim of this paper is to develop an alternative approach for assessing an insurer’s solvency as a proposal for a standard model for Solvency II. Instead ofderiving minimum capital requirements—as it is done in solvency regulation—our model provides company-specific minimum standards for...

As early as the 1970s, European Union (EU) member countries implemented rulesto coordinate insurance markets and regulation. However, with the more recentmovement toward a general single EU market, financial services regulation hastaken on new meaning and priority. Solvency I regulations went...

Die aktuellen EU-Solvabilitätsvorschriften sind seit ihrer Einführung in den Jahren1973 (Nichtlebensversicherungen) und 1979 (Lebensversicherungsunternehmen)Gegenstand massiver Kritik.1 Ein zentraler Kritikpunkt resultiert aus derTatsache, dass sich die EU-Solvabilitätsregeln lediglich am...

The foundation of insurance in the frequentist framework is well-understood by experts in actuarial science, insurance and risk management. In the past two decades there has been a surge in the application of Bayesian analysis in insurance. However, the foundation of insurance under the Bayesian...

Solvency II involves a disruption in the asset liability. In this paper, we are interested in investing in some risky asset classes and then discuss solutions that institutional investors can consider with some new calculations. One thing is certain: the relationship with its management company...

Risk parity is an asset allocation strategy designed so each asset class contributes equally to overall portfolio risk (as measured by volatility). While risk parity offers potential advantages, its success hinges on key assumptions and a favorable environment for bonds. Like the traditional...

Over the years, Institute research has shown active managers, even the best-performing ones, suffered periods of weak returns relative to benchmarks and their peers. But underperformance, up to three years, had relatively little impact on the best-performing funds' ability to deliver success...