Solvency, capital allocation, and fair rate of return in insurance

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      <subfield code="c">Michael Sherris</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="a">The Journal of risk and insurance</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
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      <subfield code="g">Volume 73, number 1, March 2006 ;  p. 71-96</subfield>
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