Risk pooling and solvency regulation : A policyholder's perspective

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Huggenberger, Markus</dc:creator>
<dc:creator>Albrecht, Peter</dc:creator>
<dc:date>2022-12-05</dc:date>
<dc:description xml:lang="es">Sumario: We investigate the benefits of risk pooling for the policyholders of stock insurance companies under different solvency standards. Using second-degree stochastic dominance, we document that the utility of risk-averse policyholders is increasing in the pool size if the equity capital is proportional to the premiums written. To the contrary, an increase in the pool size can reduce the policyholders' utility if the equity capital is determined using the Value-at-Risk (VaR). We show that pooling with a larger number of risks is also beneficial for all risk-averse policyholders under a VaR-based regulation if the pool satisfies an excess tail risk restriction. Our analysis provides new insights for the design of solvency standards and reveals a potential disadvantage of risk-based capital requirements for policyholders.

</dc:description>
<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/181663.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">https://creativecommons.org/licenses/by/4.0</dc:rights>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Solvencia</dc:subject>
<dc:subject xml:lang="es">Distribución de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Risk pooling and solvency regulation : A policyholder's perspective</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 05/12/2022 Volumen 89 Número 4 - diciembre 2022 , p. 907-950</dc:relation>
</rdf:Description>
</rdf:RDF>