Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Damir Filipovic, Robert Kremslehner, Alexander Mürmann

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

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.
OriginalspracheEnglisch
Seiten (von - bis)261 - 288
FachzeitschriftJournal of Risk and Insurance
Jahrgang82
Ausgabenummer2
DOIs
PublikationsstatusVeröffentlicht - 2015

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