Bohnert, Alexander; Gatzert, Nadine; Jørgensen, Peter … - In: Insurance: Mathematics and Economics 60 (2015) C, pp. 83-97
The aim of this paper is to analyze the impact of management’s strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders’ fair risk charge. In contrast to previous work, we focus on the effectiveness of management decisions regarding the...