Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire which yields smaller capital requirements than any other numeraire.
Type
research article
Author(s)
Date Issued
2008
Publisher
Published in
Volume
18
Start page
333
End page
336
Editorial or Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
August 12, 2013
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