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

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Título: Solvency, capital allocation, and fair rate of return in insurance / Michael Sherris
Notas: 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
Registros relacionados: En: The Journal of risk and insurance. - Orlando. - Volume 73, number 1, March 2006 ; p. 71-96
Títulos secundarios: Título: The Journal of risk and insurance
Otras clasificaciones: 212

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/