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

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1001 ‎$0‎MAPA20080179083‎$a‎Sherris, Michael
24510‎$a‎Solvency, capital allocation, and fair rate of return in insurance‎$c‎Michael Sherris
5208 ‎$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
65001‎$0‎MAPA20080546915‎$a‎Economía
65001‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
65011‎$0‎MAPA20080568221‎$a‎Capital riesgo
65011‎$0‎MAPA20080552701‎$a‎Solvencia
65011‎$0‎MAPA20080597641‎$a‎Mercados financieros
65011‎$0‎MAPA20080586294‎$a‎Mercado de seguros
7404 ‎$a‎The Journal of risk and insurance
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Orlando‎$g‎Volume 73, number 1, March 2006 ; p. 71-96