We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is suggested (and used) by the regulator and the insurance industry
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual u...
This paper analyzes the capital structure decision that insurance companies face. A structural micro...
I. 111 a recent paper on the theory of demand for insurance Arrow [I] has proved that the optimal po...
Abstract. While capital is much desired to ensure solvency, often at the prescribed 95 % safety leve...
Cahier de recherche du CERAG 2011-07 E2This paper aims at presenting the insurance cost-of-capital c...
We introduce costly internal capital into a standard insurance model, in which a risk-averse policy ...
We introduce costly internal capital into a standard insurancemodel, in which a risk-averse policyho...
Merton and Perold (1993) offered a framework for determining risk capital in a financial firm based ...
Capital plays a central role for the insurance industry. First of all, it provides a cushion against...
This paper studies an optimal insurance and reinsurance design problem among three agents: policyhol...
The key objectives of insurance companies on a yearly basis are two-fold. First, given the high com...
There is limited treatment of the optimal protection of assets against casualty or liability loss. T...
räumlich unbeschränkte und zeitlich auf die Dauer des Schutzrechts beschränkte einfache Recht ein, d...
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual u...
The Solvency II directive requires that insurance liabilities are valued using a best estimate plus ...
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual u...
This paper analyzes the capital structure decision that insurance companies face. A structural micro...
I. 111 a recent paper on the theory of demand for insurance Arrow [I] has proved that the optimal po...
Abstract. While capital is much desired to ensure solvency, often at the prescribed 95 % safety leve...
Cahier de recherche du CERAG 2011-07 E2This paper aims at presenting the insurance cost-of-capital c...
We introduce costly internal capital into a standard insurance model, in which a risk-averse policy ...
We introduce costly internal capital into a standard insurancemodel, in which a risk-averse policyho...
Merton and Perold (1993) offered a framework for determining risk capital in a financial firm based ...
Capital plays a central role for the insurance industry. First of all, it provides a cushion against...
This paper studies an optimal insurance and reinsurance design problem among three agents: policyhol...
The key objectives of insurance companies on a yearly basis are two-fold. First, given the high com...
There is limited treatment of the optimal protection of assets against casualty or liability loss. T...
räumlich unbeschränkte und zeitlich auf die Dauer des Schutzrechts beschränkte einfache Recht ein, d...
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual u...
The Solvency II directive requires that insurance liabilities are valued using a best estimate plus ...
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual u...
This paper analyzes the capital structure decision that insurance companies face. A structural micro...
I. 111 a recent paper on the theory of demand for insurance Arrow [I] has proved that the optimal po...
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