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Decomposing dynamic risks into risk components

Schilling, Katja; Bauer, Daniel - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5738-5756

Persistent link: https://www.econbiz.de/10012391415

Asset/liability management of German life insurance companies: a value-at-risk approach in the presence of interest rate guarantees

Albrecht, Peter; Weber, Carsten - In: Risk management : challenge and opportunity ; with 125 …, (pp. 407-419). 2005

Persistent link: https://www.econbiz.de/10002448077

Prospektives rating von Lebensversicherungen durch den value-at-risk-Ansatz

Finsinger, Jörg - In: Zeitschrift für das gesamte Kreditwesen : Pflichtblatt … 57 (2004) 10, pp. 542-544

Persistent link: https://www.econbiz.de/10002059252

Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies

Gatzert, Nadine - 2012

The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capitalrequirements imposed by regulatory authorities. In particular, we compare target capital derived using the value at risk concept as planned for Solvency II in the European...

Persistent link: https://www.econbiz.de/10013101731