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Group Diversification

Author

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  • Philipp Keller

    (Federal Office of Private Insurance, Schwanengasse 2, Bern CH-3003, Switzerland.)

Abstract

We present an approach to capture group-level diversification using legally binding capital and risk transfer instruments. The approach is used by the Swiss Solvency Test to quantify both group-level capital requirements and capital requirements for subsidiaries of insurance groups. The Geneva Papers (2007) 32, 382–392. doi:10.1057/palgrave.gpp.2510131

Suggested Citation

  • Philipp Keller, 2007. "Group Diversification," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 32(3), pages 382-392, July.
    • Handle: RePEc:pal:gpprii:v:32:y:2007:i:3:p:382-392
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    Citations

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    Cited by:

    1. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
    2. Asimit, Alexandru V. & Badescu, Alexandru M. & Haberman, Steven & Kim, Eun-Seok, 2016. "Efficient risk allocation within a non-life insurance group under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 69-76.
    3. 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.
    4. 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.
    5. 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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