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Dynamic Hybrids Under Solvency Ii: Risk Analysis And Modification Possibilities

Author

Listed:
  • Christian Maier

    (University of Bayreuth, Germany)

  • Oliver Seger

    (University of Bayreuth, Germany)

Abstract

In this study, we investigate the new and standardized European system of supervisory called Solvency II. In essence, asymmetric distribution of information between policyholder and insurer triggered this new regulation which aims at better protecting policyholders. Its three-pillar model is about to challenge both, insurers as well as policyholders. The first pillar includes quantitative aspects, the second pillar contains qualitative aspects and the third pillar comprises market transparency and reporting obligations. Underwriting risks, the default risk of a bank and market risks can be identified for the dynamic hybrid. Solvency II covers all these risks in the first pillar and insurers shall deposit sufficient risk-bearing capital. In our analysis, we first identify the dynamic hybrid specific risks under the Solvency II regime und then develop product modifications to reduce this risk.

Suggested Citation

  • Christian Maier & Oliver Seger, 2017. "Dynamic Hybrids Under Solvency Ii: Risk Analysis And Modification Possibilities," Eurasian Journal of Social Sciences, Eurasian Publications, vol. 5(2), pages 12-17.
    • Handle: RePEc:ejn:ejssjr:v:5:y:2017:i:2:p:12-17
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    References listed on IDEAS

    as
    1. Levent C. Uslu & Burak Evre, 2017. "Liquidity Adjusted Value At Risk: Integrating The Uncertainty In Depth And Tightness," Eurasian Journal of Business and Management, Eurasian Publications, vol. 5(1), pages 55-69.
    2. Ioannis N. Kallianiotis, 2014. "The Optimal Interest Rates and the Current Interest Rate System," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(3), pages 1-25.
    3. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
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