IDEAS home Printed from https://ideas.repec.org/a/bla/jrinsu/v82y2015i2p261-288.html
   My bibliography  Save this article

Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation

Author

Listed:
  • Damir Filipović
  • Robert Kremslehner
  • Alexander Muermann

Abstract

type="main" xml:lang="en"> 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.

Suggested Citation

  • Damir Filipović & Robert Kremslehner & Alexander Muermann, 2015. "Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 82(2), pages 261-288, June.
    • Handle: RePEc:bla:jrinsu:v:82:y:2015:i:2:p:261-288
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Boonen, Tim J. & Liu, Fangda, 2022. "Insurance with heterogeneous preferences," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    2. Gulnara Kaigorodova & Daria Alyakina & Guzel Pyrkova & Alfiya Mustafina, 2018. "Investment Activity of Insurers and the State Economic Growth," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(4), pages 109-123.
    3. Escobar-Anel, M. & Havrylenko, Y. & Zagst, R., 2020. "Optimal fees in hedge funds with first-loss compensation," Journal of Banking & Finance, Elsevier, vol. 118(C).
    4. Boonen, Tim J., 2019. "Equilibrium recoveries in insurance markets with limited liability," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 38-45.
    5. Marcos Escobar-Anel & Vincent Höhn & Luis Seco & Rudi Zagst, 2018. "Optimal fee structures in hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 522-542, December.
    6. Reichel, Lukas & Schmeiser, Hato & Schreiber, Florian, 2022. "On the optimal management of counterparty risk in reinsurance contracts," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 374-394.
    7. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
    8. Subramanian, Ajay & Wang, Jinjing, 2021. "Capital, aggregate risk, insurance prices and regulation," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 156-192.
    9. Hansjörg Albrecher & Karl‐Theodor Eisele & Mogens Steffensen & Mario V. Wüthrich, 2022. "On the cost‐of‐capital rate under incomplete market valuation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 1139-1158, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jrinsu:v:82:y:2015:i:2:p:261-288. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/ariaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.