2014/01/16 by Damir Filipović, Robert Kremslehner, Alexander Muermann · 1 citation
Economics, Econometrics and Finance · Social Sciences · Decision Sciences · #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Risk and Portfolio Optimization
paper · doi:10.1111/jori.12021
openalex publication_date 2014/01/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29
A bstract Limited liability creates an incentive for insurers to increase the risk of the assets and liabilities at the expense of policyholders. We show that solvency capital requirements restrict the set of feasible investment and premium policies and can thereby improve efficiency under the risk‐shifting problem. This finding becomes particularly important in light of Solvency II, the forthcoming European risk‐based solvency regime for insurers. We provide evidence for Solvency II–related efficiency effects in a calibration study for a nonlife insurer average portfolio.