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Intragroup transfers, intragroup diversification and their risk assessment

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  • Andreas Haier
  • Ilya Molchanov
  • Michael Schmutz

Abstract

When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.

Suggested Citation

  • Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
    • Handle: RePEc:arx:papers:1511.06320
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    References listed on IDEAS

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    Cited by:

    1. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
    2. 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.
    3. Haier Andreas & Molchanov Ilya, 2019. "Multivariate risk measures in the non-convex setting," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 25-35, December.
    4. Andreas Haier & Ilya Molchanov, 2019. "Multivariate risk measures in the non-convex setting," Papers 1902.00766, arXiv.org, revised Sep 2019.
    5. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
    6. 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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