Efficient risk allocation within a non-life insurance group under Solvency II regime
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Publication:903332
DOI10.1016/j.insmatheco.2015.10.008zbMath1348.91126OpenAlexW3121136586MaRDI QIDQ903332
Alexandru M. Badescu, Alexandru V. Asimit, Eun-Seok Kim, Steven Haberman
Publication date: 5 January 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.008
Solvency IIbest estimaterisk marginsolvency capital requirementinsurance groupminimum capital requirement
Related Items (6)
An optimal reinsurance simulation model for non-life insurance in the Solvency II framework ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Solvency II reporting: how to interpret funds' aggregate solvency capital requirement figures ⋮ Some mathematical aspects of price optimisation ⋮ Robust reinsurance contracts with risk constraint ⋮ Optimal Risk Transfer: A Numerical Optimization Approach
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