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...

Quantifying the economic capital and optimally allocating it into portfolios of financial instruments are two key topics in the asset/liability management (ALM) of an insurance company. In general these problems are studied in the literature by minimizing standard risk measures such as the value...

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...

We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

In this paper, we study stochastic orders of scalar products of random vectors. Based on the study of Ma [Ma, C., 2000. Convex orders for linear combinations of random variables. J. Statist. Plann. Inference 84, 11-25], we first obtain more general conditions under which linear combinations of...

In this paper, we study the problems of optimal allocation of policy limits and deductibles. Several objective functions are considered: maximizing the expected utility of wealth assuming the losses are independent, minimizing the expected total retained loss and maximizing the expected utility...

In the literature, orderings of optimal allocations of policy limits and deductibles were established with respect to a policyholder's preference. However, from the viewpoint of an insurer, the orderings are not enough for the purpose of pricing. In this paper, by applying the equivalent utility...