Solvency, capital allocation, and fair rate of return in insurance
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| 001 | MAP20071507870 | ||
| 003 | MAP | ||
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| 040 | $aMAP$bspa | ||
| 084 | $a212 | ||
| 100 | 1 | $0MAPA20080179083$aSherris, Michael | |
| 245 | 1 | 0 | $aSolvency, capital allocation, and fair rate of return in insurance$cMichael Sherris |
| 520 | 8 | $aA 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 | |
| 650 | 0 | 1 | $0MAPA20080546915$aEconomía |
| 650 | 0 | 1 | $0MAPA20080591182$aGerencia de riesgos |
| 650 | 1 | 1 | $0MAPA20080568221$aCapital riesgo |
| 650 | 1 | 1 | $0MAPA20080552701$aSolvencia |
| 650 | 1 | 1 | $0MAPA20080597641$aMercados financieros |
| 650 | 1 | 1 | $0MAPA20080586294$aMercado de seguros |
| 740 | 4 | $aThe Journal of risk and insurance | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dOrlando$gVolume 73, number 1, March 2006 ; p. 71-96 |