Efficient risk allocation within a non-life insurance group under Solvency II Regime

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Efficient risk allocation within a non-life insurance group under Solvency II Regime</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130011653">
<namePart>Asimit, Alexandru V.</namePart>
<nameIdentifier>MAPA20130011653</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2016</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">Intra-group transfers are risk management tools that are usually widely used to optimise the risk position of an insurance group. In this paper, it is shown that premium and liability transfers could be optimally made in such a way as to reduce the amount of Technical Provisions and Minimum Capital Requirement for the entire insurance conglomerate. These levels of required capital represent the minimal amount that needs to be held by the insurance group without regulator intervention, according to the Solvency II regulation. We assume that only proportional risk transfers are feasible, since such transfers are not difficult to administer for a large scaled insurance group, as is always the case. In addition, any risk shifting should be made for commercial purposes in order to be considered acceptable by the local regulators that impose restrictions on how much the assets within an insurance group are fungible. Our numerical examples illustrate the efficiency of the optimal proportional risk transfers which can easily be implemented, in terms of computation, in any well-known solver even for an insurance conglomerate with many subsidiaries. We found that our proposed optimal proportional allocations are more beneficial for large insurance group, since the relative reduction in capital requirement tends to be small, whereas the gain in absolute terms is quite significant for large scaled insurance group.</abstract>
<note type="statement of responsibility">Alexandru V. Asimita... [et al.]</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080573935">
<topic>Seguros no vida</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590567">
<topic>Empresas de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080615673">
<topic>Transferencia de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100019443">
<topic>Requerimientos financieros</topic>
</subject>
<classification authority="">212</classification>
<relatedItem type="host">
<titleInfo>
<title>Insurance : mathematics and economics</title>
</titleInfo>
<originInfo>
<publisher>Oxford : Elsevier, 1990-</publisher>
</originInfo>
<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>04/01/2016 Volumen 66 - enero 2016 , p. 69-76</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">160208</recordCreationDate>
<recordChangeDate encoding="iso8601">20160219130133.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20160003970</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>