In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited...

This study investigates the effects of the Global crisis on the relative efficiency of ten Central and Eastern European emerging stock markets, using the Generalized Spectral test of Escanciano and Velasco (2006) in a rolling window approach. This test is robust to the distributional...

Purpose – The purpose of this paper is to highlight some testing procedures, both in time/frequency framework, useful to test for significant cycles in insurance data. The US underwriting cycle is measured using the growth rates of real premiums. Design/methodology/approach – In addition to...

This paper extends a useful property of the increasing convex order to the multivariate orthant convex order. Specifically, it is shown that vectors of sums of comonotonic random variables dominate in the orthant convex order vectors of sums of random variables that are smaller in the increasing...

In this letter, we show that the results presented by Jindapon and Neilson (2007) for changes in risk à la Ekern (1980) can be generalized to mean-preserving stochastic dominance changes, with appropriate and simple additional conditions on the utility function.

Marginal Conditional Stochastic Dominance (MCSD) developed by Shalit and Yitzhaki (1994) gives the conditions under which all risk-averse individuals prefer to increase the share of one risky asset over another in a given portfolio. In this paper, we extend this concept to provide conditions...