IDEAS home Printed from https://ideas.repec.org/a/pal/gpprii/v31y2006i1p96-123.html
   My bibliography  Save this article

Group Aspects of Regulatory Reform in the Insurance Sector

Author

Listed:
  • Patrick Darlap

    (Austrian Financial Market Authority, Praterstrasse 23, Vienna 1020, Austria.)

  • Bernhard Mayr

    (Austrian Financial Market Authority, Praterstrasse 23, Vienna 1020, Austria.)

Abstract

This article discusses group aspects that may be expected to be important determinants of regulatory reform in the insurance sector. Basically, we deal with the question of whether the risk level of a group is higher or lower than the simple sum of risks of all institutions individually. The application of simple portfolio theory to explain overall group risks may be myopic. A holistic approach to assess group (concentration) risks also has to cover risks that portfolio theory does not take into account, for example, reputational effects, contagion, etc. In fact, the diversification gains from a large group portfolio may well be outweighed by the risks encountered at group level. In order to assess group risks, we advocate the use of copula-based economic capital models. We believe that this procedure allows a more adequate judgement on group risks than traditional methods, which are generally based on rather restrictive assumptions. Data constraints, however, may impair an early implementation of such models. An early start of data collection for adequate modelling and further research on copulas have to be understood as prerequisites to advanced solvency determination in groups. The Geneva Papers (2006) 31, 96–123. doi:10.1057/palgrave.gpp.2510059

Suggested Citation

  • Patrick Darlap & Bernhard Mayr, 2006. "Group Aspects of Regulatory Reform in the Insurance Sector," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 31(1), pages 96-123, January.
    • Handle: RePEc:pal:gpprii:v:31:y:2006:i:1:p:96-123
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/gpp/journal/v31/n1/pdf/2510059a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/gpp/journal/v31/n1/full/2510059a.html
    File Function: Link to full text HTML
    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. Daniela Laas & Caroline Franziska Siegel, 2017. "Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1231-1267, December.
    2. Caroline Siegel, 2013. "Solvency Assessment for Insurance Groups in the United States and Europe—A Comparison of Regulatory Frameworks," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 38(2), pages 308-331, April.

    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:pal:gpprii:v:31:y:2006:i:1:p:96-123. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    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.