2015/11/19 by Andreas Haier, Ilya Molchanov, Haier, Andreas +3
Economics, Econometrics and Finance · Mathematics · #60D05 #91B30 #97M30 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM) #math.PR #msc:60D05 #msc:91B30 #msc:97M30 #q-fin.RM
paper · pdf · doi:10.48550/arxiv.1511.06320
20 pages, 3 figures. Revised version
openalex publication_date 2015/11/19 · arxiv created 2016/11/01 · arxiv updated 2016/11/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.