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Solvency, capital allocation, and fair rate of return in insurance
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MAP20071507870
Sherris, Michael ‌
Solvency, capital allocation, and fair rate of return in insurance / Michael Sherris
A method to allocate capital in insurance to lines of business is developed based on an economic definition of solvency and the market value of the insurer balance sheet. Solvency , and its financial impact, is determinde by the value of the insolvency exchange option. The allocation of capìtal is determined using a complete markets' arbitrage-free model and, as a result, has desirable properties, such as the allocated capital "adds up" and is consistent with the economic value of the balance sheet assets and liabilities
En: The Journal of risk and insurance. - Orlando. - Volume 73, number 1, March 2006 ; p. 71-96
1. Economía ‌. 2. Gerencia de riesgos ‌. 3. Capital riesgo ‌. 4. Solvencia ‌. 5. Mercados financieros ‌. 6. Mercado de seguros ‌. I. Title. II. Título: The Journal of risk and insurance.