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Group Diversification

Author

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  • Philipp Keller

    (Federal Office of Private Insurance, Schwanengasse 2, Bern CH-3003, Switzerland.)

Abstract

We present an approach to capture group-level diversification using legally binding capital and risk transfer instruments. The approach is used by the Swiss Solvency Test to quantify both group-level capital requirements and capital requirements for subsidiaries of insurance groups. The Geneva Papers (2007) 32, 382–392. doi:10.1057/palgrave.gpp.2510131

Suggested Citation

  • Philipp Keller, 2007. "Group Diversification," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 32(3), pages 382-392, July.
    • Handle: RePEc:pal:gpprii:v:32:y:2007:i:3:p:382-392
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    Cited by:

    1. Asimit, Alexandru V. & Badescu, Alexandru M. & Haberman, Steven & Kim, Eun-Seok, 2016. "Efficient risk allocation within a non-life insurance group under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 69-76.
    2. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2016. "Intragroup transfers, intragroup diversification and their risk assessment," Annals of Finance, Springer, vol. 12(3), pages 363-392, December.
    3. Ettlin, Nicolas & Farkas, Walter & Kull, Andreas & Smirnow, Alexander, 2020. "Optimal risk-sharing across a network of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 39-47.
    4. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
    5. Weber, Stefan, 2018. "Solvency II, or how to sweep the downside risk under the carpet," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 191-200.

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