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A theory of risk, return and solvency

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  • Powers, Michael R.

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  • Powers, Michael R., 1995. "A theory of risk, return and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 101-118, October.
    • Handle: RePEc:eee:insuma:v:17:y:1995:i:2:p:101-118
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    References listed on IDEAS

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    1. Abikhalil, F., 1986. "Finite Time Ruin Problems for Perturbed Experience Rating and Connection with Discounting Risk Models," ASTIN Bulletin, Cambridge University Press, vol. 16(1), pages 33-43, April.
    2. William B. Fairley, 1979. "Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results," Bell Journal of Economics, The RAND Corporation, vol. 10(1), pages 192-210, Spring.
    3. Garrido, Jose, 1989. "Stochastic differential equations for compounded risk reserves," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 165-173, November.
    4. Harrison, J. Michael, 1977. "Ruin problems with compounding assets," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 67-79, February.
    5. Bohman, H., 1972. "Risk theory and Wiener processes," ASTIN Bulletin, Cambridge University Press, vol. 7(1), pages 96-99, December.
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    Cited by:

    1. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
    2. Powers, Michael R. & Shubik, Martin, 1998. "On the tradeoff between the law of large numbers and oligopoly in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 141-156, November.
    3. Asier Garayeta & J. Iñaki De la Peña & Eduardo Trigo, 2022. "Towards a Global Solvency Model in the Insurance Market: A Qualitative Analysis," Sustainability, MDPI, vol. 14(11), pages 1-18, May.
    4. Mousa, A.S. & Pinheiro, D. & Pinto, A.A., 2016. "Optimal life-insurance selection and purchase within a market of several life-insurance providers," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 133-141.
    5. Adekambi Franck, 2013. "The Asymptotic Ruin Problem in Health Care Insurance with Interest," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(2), pages 143-162, July.
    6. Michael Powers & Martin Shubik & Shun Yao, 1998. "Insurance market games: Scale effects and public policy," Journal of Economics, Springer, vol. 67(2), pages 109-134, June.
    7. Adekambi Franck & Mamane Salha, 2012. "Health Care Insurance Pricing Using Alternating Renewal Processes," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(1), pages 1-14, December.
    8. Benjamin Avanzi & Lewis de Felice, 2023. "Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks," Papers 2312.14355, arXiv.org, revised Mar 2024.
    9. Burren, Daniel, 2013. "Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 551-568.
    10. Hato Schmeiser, 2004. "New Risk‐Based Capital Standards in the European Union: A Proposal Based on Empirical Data," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 7(1), pages 41-52, March.
    11. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.

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