Quotation 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.


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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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Risk and Insurance
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-A, VW-C, WH-A
Language English
Title Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
Volume 82
Number 2
Year 2015
Page from 261
Page to 288
URL http://onlinelibrary.wiley.com/doi/10.1111/jori.12021/abstract
DOI http://dx.doi.org/10.1111/jori.12021

Associations

Projects
PhD Programm: Vienna Graduate School of Finance
People
Filipovic, Damir (Former researcher)
Kremslehner, Robert (Former researcher)
Mürmann, Alexander (Details)
Organization
Institute for Finance, Banking and Insurance IN (Details)
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