Details
| Original language | English |
|---|---|
| Pages (from-to) | 203-234 |
| Number of pages | 32 |
| Journal | European Actuarial Journal |
| Volume | 10 |
| Issue number | 1 |
| Early online date | 30 Nov 2019 |
| Publication status | Published - Jun 2020 |
Abstract
We discuss the impact of risk sharing and asset–liability management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In particular, we highlight that the class of V@R-based risk measures allows for a substantial reduction of the total capital requirement in corporate networks that share risks between entities. We provide case studies that complement previous theoretical results and demonstrate their practical relevance. For large networks, optimal asset–liability management is often contrary to those strategies that are desirable from a regulatory point of view.
Keywords
- Average value at risk, Corporate networks, Distortion risk measures, Optimal risk sharing, Range value at risk, Solvency capital requirement, Value at risk
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
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In: European Actuarial Journal, Vol. 10, No. 1, 06.2020, p. 203-234.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Optimal risk sharing in insurance networks
T2 - An application to asset–liability management
AU - Hamm, Anna-Maria
AU - Knispel, Thomas
AU - Weber, Stefan
PY - 2020/6
Y1 - 2020/6
N2 - We discuss the impact of risk sharing and asset–liability management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In particular, we highlight that the class of V@R-based risk measures allows for a substantial reduction of the total capital requirement in corporate networks that share risks between entities. We provide case studies that complement previous theoretical results and demonstrate their practical relevance. For large networks, optimal asset–liability management is often contrary to those strategies that are desirable from a regulatory point of view.
AB - We discuss the impact of risk sharing and asset–liability management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In particular, we highlight that the class of V@R-based risk measures allows for a substantial reduction of the total capital requirement in corporate networks that share risks between entities. We provide case studies that complement previous theoretical results and demonstrate their practical relevance. For large networks, optimal asset–liability management is often contrary to those strategies that are desirable from a regulatory point of view.
KW - Average value at risk
KW - Corporate networks
KW - Distortion risk measures
KW - Optimal risk sharing
KW - Range value at risk
KW - Solvency capital requirement
KW - Value at risk
UR - http://www.scopus.com/inward/record.url?scp=85075874703&partnerID=8YFLogxK
U2 - 10.1007/s13385-019-00219-9
DO - 10.1007/s13385-019-00219-9
M3 - Article
VL - 10
SP - 203
EP - 234
JO - European Actuarial Journal
JF - European Actuarial Journal
SN - 2190-9733
IS - 1
ER -