Corvinus
Corvinus

On the Relationship between Investment Risk and Insurance Solvency Optimum

Szüle, Borbála (2021) On the Relationship between Investment Risk and Insurance Solvency Optimum. PERIODICA POLYTECHNICA-SOCIAL AND MANAGEMENT SCIENCES, 29 (1). pp. 84-91. DOI https://doi.org/10.3311/PPso.14760

[img]
Preview
PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
403kB

Official URL: https://doi.org/10.3311/PPso.14760


Abstract

Solvency is a key issue in the insurance sector. Investments can have significant risks, and a compelling research question is whether the solvency optimizing investment risk corresponds to the lowest possible risk level. This question is even more topical with some interest rates approaching very low levels in many countries. The paper aims to answer this question. Theoretical results suggest that if insurance risk and investment risk are uncorrelated, solvency optimizing investment portfolios with non-risk-free components may exist, and the level of optimal investment risk may inversely depend on the insurance portfolio size.

Item Type:Article
Uncontrolled Keywords:investment, solvency, risk, risk analysis, insurance
Subjects:Finance
DOI:https://doi.org/10.3311/PPso.14760
ID Code:6221
Deposited By: MTMT SWORD
Deposited On:08 Jan 2021 14:15
Last Modified:08 Jan 2021 14:15

Repository Staff Only: item control page