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Solvency II, or how to sweep the downside risk under the carpet

Citations

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Cited by:

  1. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
  2. Gabriela Zeller & Matthias Scherer, 2023. "Risk mitigation services in cyber insurance: optimal contract design and price structure," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(2), pages 502-547, April.
  3. Jascha Alexander & Christian Laudag'e & Jorn Sass, 2024. "Risk measures based on target risk profiles," Papers 2409.17676, arXiv.org, revised Apr 2025.
  4. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
  5. Felix-Benedikt Liebrich, 2021. "Risk sharing under heterogeneous beliefs without convexity," Papers 2108.05791, arXiv.org, revised May 2022.
  6. Cosimo Munari & Lutz Wilhelmy & Stefan Weber, 2021. "Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation," Papers 2107.10635, arXiv.org.
  7. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
  8. Bettels, Sören & Kim, Sojung & Weber, Stefan, 2024. "Multinomial backtesting of distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 130-145.
  9. Miao, Wenlong & Ma, Yuxian & Xu, Haoran, 2025. "Capital regulation, regulatory avoidance, and bank systemic risk," International Review of Financial Analysis, Elsevier, vol. 100(C).
  10. Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2025. "Optimal allocations with distortion risk measures and mixed risk attitudes," Papers 2510.18236, arXiv.org.
  11. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
  12. Felix-Benedikt Liebrich, 2024. "Risk sharing under heterogeneous beliefs without convexity," Finance and Stochastics, Springer, vol. 28(4), pages 999-1033, October.
  13. Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2019. "Systemic Optimal Risk Transfer Equilibrium," Papers 1907.04257, arXiv.org, revised Jun 2020.
  14. Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi, 2021. "Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 168-184.
  15. Alessandro Doldi & Marco Frittelli, 2024. "Multivariate systemic optimal risk transfer equilibrium," Annals of Operations Research, Springer, vol. 336(1), pages 435-480, May.
  16. Matteo Burzoni & Alessandro Doldi & Enea Monzio Compagnoni, 2022. "Risk Sharing with Deep Neural Networks," Papers 2212.11752, arXiv.org, revised Jun 2023.
  17. Peng Liu & Alexander Schied, 2025. "Lambda Value-at-Risk under ambiguity and risk sharing," Papers 2511.00717, arXiv.org.
  18. Alessandro Doldi & Marco Frittelli, 2019. "Multivariate Systemic Optimal Risk Transfer Equilibrium," Papers 1912.12226, arXiv.org, revised Oct 2021.
  19. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Pairwise counter-monotonicity," Papers 2302.11701, arXiv.org, revised May 2023.
  20. Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
  21. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  22. Arai, Takuji & Asano, Takao & Nishide, Katsumasa, 2019. "Optimal initial capital induced by the optimized certainty equivalent," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 115-125.
  23. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Risk sharing, measuring variability, and distortion riskmetrics," Papers 2302.04034, arXiv.org, revised Sep 2025.
  24. Wang, Ruodu & Wei, Yunran, 2020. "Characterizing optimal allocations in quantile-based risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 288-300.
  25. Kerstin Awiszus & Thomas Knispel & Irina Penner & Gregor Svindland & Alexander Vo{ss} & Stefan Weber, 2022. "Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks," Papers 2209.07415, arXiv.org, revised Dec 2022.
  26. Sojung Kim & Stefan Weber, 2020. "Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach," Papers 2009.03653, arXiv.org, revised Jan 2022.
  27. Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
  28. Lauzier, Jean-Gabriel & Lin, Liyuan & Wang, Ruodu, 2023. "Pairwise counter-monotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 279-287.
  29. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
  30. Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2020. "Risk Measures Based on Benchmark Loss Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 437-475, June.
  31. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
  32. Schlütter, Sebastian & Fianu, Emmanuel Senyo & Gründl, Helmut, 2022. "Responsible investments in life insurers' optimal portfolios under solvency constraints," ICIR Working Paper Series 45/22, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  33. Peng Liu & Andreas Tsanakas & Yunran Wei, 2024. "Risk sharing with Lambda value at risk under heterogeneous beliefs," Papers 2408.03147, arXiv.org, revised Aug 2025.
  34. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Aug 2024.
  35. Jean-Gabriel Lauzier & Liyuan Lin & Peter Wakker & Ruodu Wang, 2024. "Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes," Papers 2401.03328, arXiv.org, revised Oct 2025.
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