Property-liability insurance is distributed by independent agents, who represent several insurers, and exclusive agents, who represent only one insurer. The independent agency system is known to have higher costs than the exclusive agency system. The market imperfections hypothesis attributes...

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...

Modern regulatory capital standards, such as the Solvency II standard formula, employ a correlation based approach for risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non-life insurance risk and default risk to determine the...

Theory and empirical evidence suggest short-run interactions between capital and risk. This paper analyzes the effects of reinsurance, as a new endogenous decision variable, on this policy mix. We examine this issue using a system of simultaneous equations applied to the U.S. property-liability...

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...

This paper provides a detailed quantitative assessment of the impact of solvency capital requirements on product pricing and shareholder value for a life insurer. A multi-period firm value maximization model for a life annuity provider, allowing for stochastic mortality and asset returns,...

Insurance Industry is going through a very important stage of its transformation - the transition from the classical system of management into a risk-based management. These changes were launched in Europe by international organizations which deal with the development of the necessary...

Regulators are currently developing group-wide capital standards that are intended to enable the effective monitoring of insurance groups. Some jurisdictions are taking steps toward models with a focus on the groups’ consolidated balance sheets, while other models focus on the interrelations...

Theory and empirical evidence recognize interactions between capital and risk. This paper analyzes the effect of reinsurance, as a new endogenous decision variable, on this policy mix using simultaneous equations model. Empirical results obtained from a sample of U.S. property-liability...