This paper examines dependency among stock returns, the line of business in the non-life insurance industry and … the dependence between lines of non-life business is crucial for capital allocation. We estimate the correlation among … major segments of losses of top listed non-life insurance firms in India during the period 2017 to 2020. We show that …

Solvency II. However, there is evidence that the standard formula inaccurately reflects insurers’ risk situation and may … provide misleading steering incentives. In the second pillar, Solvency II requires insurers to perform a so-called “Own Risk … and Solvency Assessment” (ORSA). In their ORSA, insurers must establish their own risk measurement approaches, including …

transfers are not difficult to administer for a large scaled insurance group, as is always the case. In addition, any risk …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 …

in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …' and insurers' risk situations. In addition, we compare insurers' capital requirements under the proposed Solvency II …

in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …' and insurers' risk situations. In addition, we compare insurers' capital requirements under the proposed Solvency II …

consider the stock selection problem of life insurance companies. In addition to stock risk, our model set-up includes other … insurance solvency regulation, such as Solvency II, we measure risk using the solvency ratio, i. e. the ratio of the insurer … companies. In this paper, we consider the stock selection problem of life insurance companies. In addition to stock risk, our …

consider the stock selection problem of life insurance companies. In addition to stock risk, our model set-up includes other … insurance solvency regulation, such as Solvency II, we measure risk using the solvency ratio, i.e. the ratio of the insurer … approaches focus on classical investors and do not account for specific aspects of insurance companies. In this paper, we …

The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk … exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium … and change in the risk margin requirement as a result of reinsurance. Depending on how the risk margin corresponding to …

life insurers to de-risk — that is, move to holding safe assets in place of risky — following falls in risk-free interest … rates. This behaviour is driven by changes in the so-called ‘risk margin', which, under its current design within the … Solvency II framework, reduces insurers' solvency positions following falls in risk-free interest rates, thereby encouraging …

Life insurance companies ... …