English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

This paper presents a general framework for the capital allocation model that minimizes insurance group risk. The Global Financial Crisis greatly affected insurer management. The enormous losses sustained by American International Group’s derivative subsidiary are still fresh in our minds, and group risk management has recently become a material issue. On facing serious financial distress, an insurance group adopts a methodology wherein it focuses its capital on its material subsidiaries using capital and risk transfer instruments (CRTIs) such as reinsurance, loans, and guarantees. To this end, we model the dependency structure between the parent company and its subsidiaries in terms of the associated assets and liabilities, using some copula functions and calculate the optimal risk transferring ratios. At the same time, we consider the parent company’s limited liability toward its subsidiary and evaluate a put-option value to run off an immaterial subsidiary facing financial distress for the diversification of risk on the whole group. Major findings are that different dependency structures result in different risk transferring ratios and the diversification effect for group risk is different depending on the kind of CRTI.

Insurance Group Risk Management Model for the Next-Generation Solvency Framework