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research article

On the Group Level Swiss Solvency Test

Filipovic, Damir  
•
Kupper, Michael
2007
Bulletin of the Swiss Association of Actuaries

In this paper we elaborate on Swiss Solvency Test (SST) consistent group diversification effects via optimizing the web of capital and risk transfer (CRT) instruments between the legal entities. A group level SST principle states that subsidiaries can be sold by the parent company at their economic value minus some minimum capital requirement. In a numerical example we examine the dependence of the optimal CRT on this minimum capital requirement. Our findings raise the question of how to actually implement this group level SST principle and how to define the respective level of minimum capital requirements, in particular

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Type
research article
Author(s)
Filipovic, Damir  
Kupper, Michael
Date Issued

2007

Published in
Bulletin of the Swiss Association of Actuaries
Volume

1

Start page

97

End page

115

Subjects

Convex Optimization

•

Group Diversification

•

Minimum Capital Requirement

•

Swiss Solvency Test

URL

URL

http://sfi.epfl.ch/files/content/sites/sfi/files/users/196224/public/groupsolvency.pdf
Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
CSF  
Available on Infoscience
August 12, 2013
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/94060
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