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research article
Optimal capital and risk transfers for group diversification
2008
Diversification is at the core of insurance and other financial business. It constitutes an important issue in the preparation of the new Solvency II framework for the regulation of European insurance undertakings. In this paper, we propose a conceptual framework for a legally enforceable capital and risk transfer which optimally accounts for the designated group diversification benefits. We also provide a consistent valuation principle which is compatible with any prior valuation method. This makes our framework fully flexible and universally applicable. A first simple numerical example illustrates the practicability of our proposal.
Type
research article
Authors
Publication date
2008
Publisher
Published in
Volume
18
Start page
55
End page
76
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
August 12, 2013
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