arXiv
Open Access
2025
Opportunity Cost in Insurance
Jan Maelger
Abstrak
We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all regulatory frameworks with a solvency requirement defined in the form of a solvency ratio, notably Solvency II and the Swiss Solvency Test. We identify the optimal asset allocation for profit maximisation within a pre-defined risk appetite and deduce the annual opportunity cost faced by the insurance company.
Topik & Kata Kunci
Penulis (1)
J
Jan Maelger
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2025
- Bahasa
- en
- Sumber Database
- arXiv
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- Open Access ✓