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Longevity risk in life insurance products

Stevens, Ralph - 2011

Persistent link: https://www.econbiz.de/10008903446

Assessing the solvency of insurance portfolios via a continuous-time cohort model

Jevtić, Petar; Regis, Luca - In: Insurance / Mathematics & economics 61 (2015), pp. 36-47

Persistent link: https://www.econbiz.de/10010515932

Responsible investments in life insurers' optimal portfolios under solvency constraints

Schlütter, Sebastian; Fianu, Emmanuel Senyo; Gründl, … - 2022

of Markowitz's Portfolio Selection Theory by choosing the "solvency ratio" as a downside risk measure to obtain a …

Persistent link: https://www.econbiz.de/10013271267

Optimal investment under VaR-Regulation and Minimum Insurance

Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209

Persistent link: https://www.econbiz.de/10011825449

Responsible Investments in Life Insurers' Optimal Portfolios under Solvency Constraints

Schlütter, Sebastian; Fianu, Emmanuel Senyo; Gründl, … - 2022

of Markowitz's Portfolio Selection Theory by choosing the ``solvency ratio" as a downside risk measure to obtain a …

Persistent link: https://www.econbiz.de/10013404382

Solvency II and diversification effect for non-life premium and reserves risk : new results based on non-parametric copulas

Szczęsny, Krystian; Wanat, Stanisław; Denkowska, Anna - In: Risk management : an international journal 25 (2023) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10014326598

Responsible investments in life insurers' optimal portfolios under solvency constraints

Schlütter, Sebastian; Fianu, Emmanuel Senyo; Gründl, … - In: Zeitschrift für die gesamte Versicherungswissenschaft 112 (2023) 1, pp. 53-81

of Markowitz's Portfolio Selection Theory by choosing the "solvency ratio" as a downside risk measure to obtain a … consequence, we employ a modification of Markowitz's Portfolio Selection Theory by choosing the "solvency ratio" as a downside …

Persistent link: https://www.econbiz.de/10014486955

Handbuch Solvency II : von der Standardformel zum internen Modell, vom Governance-System zu den MaRisk VA

Bennemann, Christoph (ed.); Oehlenberg, Lutz (ed.); … - 2011

Persistent link: https://www.econbiz.de/10009011513

Will Solvency II Market Risk Requirements Bite? The Impact of Solvency II on Insurers' Asset Allocation

Höring, Dirk - 2012

The European insurance industry is among the largest institutional investors in Europe. Therefore, major reallocations in their investment portfolios due to the new risk-based economic capital requirements introduced by Solvency II would cause significant disruptions in European capital markets...

Persistent link: https://www.econbiz.de/10013109600

Product design and capital efficiency in participating life insurance under risk based solvency frameworks

Wieland, Jochen Alois Georg - 2016

Persistent link: https://www.econbiz.de/10012312809