Filipovic, Damir, Kremslehner, Robert, Mürmann, Alexander. 2015. Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation. Journal of Risk and Insurance 82 (2): S. 261-288.

RIS

@ARTICLE{Filipovic2015,
title = {Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation},
author = {Damir Filipovic and Robert Kremslehner and Alexander Mürmann},
year = {2015},
doi = {http://dx.doi.org/10.1111/jori.12021},
url = {http://onlinelibrary.wiley.com/doi/10.1111/jori.12021/abstract},
volume = {82},
number = {2},
language = {EN},
pages = {261-288},
journal = {Journal of Risk and Insurance},
abstract = {Limited liability creates an incentive for insurers to increase the risk of the assets and liabilities at the expense of policyholders. We show that solvency capital requirements restrict the set of feasible investment and premium policies and can thereby improve efficiency under the risk-shifting problem. This finding becomes particularly important in light of Solvency II, the forthcoming European risk-based solvency regime for insurers. We provide evidence for Solvency II–related efficiency effects in a calibration study for a nonlife insurer average portfolio.},
}