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

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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
Divisions:Faculty of Economics > Insurance Education and Research Group
ID Code:6221
Deposited By: MTMT SWORD
Deposited On:08 Jan 2021 14:15
Last Modified:08 Jan 2021 14:15

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