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Intragroup transfers, intragroup diversification and their risk assessment

Author

Listed:
  • Andreas Haier

    (University of Bern)

  • Ilya Molchanov

    (University of Bern)

  • Michael Schmutz

    (University of Bern)

Abstract

When assessing group solvency, an important question is to what extent intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved. We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.

Suggested Citation

  • Andreas Haier & Ilya Molchanov & Michael Schmutz, 2016. "Intragroup transfers, intragroup diversification and their risk assessment," Annals of Finance, Springer, vol. 12(3), pages 363-392, December.
    • Handle: RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0284-6
    DOI: 10.1007/s10436-016-0284-6
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
    2. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
    3. Ettlin, Nicolas & Farkas, Walter & Kull, Andreas & Smirnow, Alexander, 2020. "Optimal risk-sharing across a network of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 39-47.
    4. Andreas Haier & Ilya Molchanov, 2019. "Multivariate risk measures in the non-convex setting," Papers 1902.00766, arXiv.org, revised Sep 2019.
    5. Haier Andreas & Molchanov Ilya, 2019. "Multivariate risk measures in the non-convex setting," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 25-35, December.
    6. Weber, Stefan, 2018. "Solvency II, or how to sweep the downside risk under the carpet," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 191-200.

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    More about this item

    Keywords

    Fungibility risks; Intragroup diversification; Intragroup transactions; Set-valued risk measures; Risk assessments for groups; Solvency tests for groups;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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