Multiperiod insurance supervision: top-down models

Eisele, Karl-Theodor; Artzner, Philippe

doi:10.1007/s13385-011-0003-7

Cited by 10 publications

(7 citation statements)

References 5 publications

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“…Also, the accounting standards set out in IFRS 4 Phase II (see IFRS (2012IFRS ( , 2013 are consistent with Solvency II and include a treatment for risk margins that has no analogue in the banking domain. See Wüthrich and Merz (2013), Eisele and Artzner (2011) and Salzmann and Wüthrich (2010) regarding the risk margin and cost of capital actuarial literature.…”

Section: Cost Of Capitalmentioning

confidence: 99%

“…As counterparty risk is hard to hedge in practice, the concept of a counterparty risk replicating strategy is a rather theoretical abstraction. A broader notion, which can be related to the notion of optimal replicating portfolio in Eisele and Artzner (2011), would be that of a KVA (or perhaps FTP) minimizing hedge, but even the idea of minimizing over η is probably overly optimistic, as banks would not really optimize but rather select a "suitable" η.…”

Section: Reserve Capital and Target Reserve Capitalmentioning

confidence: 99%

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Capital Valuation Adjustment and Funding Valuation Adjustment

Albanese

Caenazzo²,

Crépey

2016

SSRN Journal

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In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and so on, and VA stands for valuation adjustment.This behaviour is at odds with economies where markets for contingent claims are complete, whereby trades clear at fair valuations and the costs for capital and collateral are both irrelevant to investment decisions.In this paper, we set forth a mathematical formalism for derivative portfolio management in incomplete markets for banks. A particular emphasis is given to the problem of finding optimal strategies for retained earnings which ensure a sustainable dividend policy.

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Section: Cost Of Capitalmentioning

confidence: 99%

Section: Reserve Capital and Target Reserve Capitalmentioning

confidence: 99%

Capital Valuation Adjustment and Funding Valuation Adjustment

Albanese

Caenazzo²,

Crépey

2016

SSRN Journal

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“…We here work with the notion of time-consistency as in [10] which is slightly different to the respective notion in [5] and [1]. Since both concepts of time-consistency are formally very similar, the results of this section can directly be adapted to the context of [5] and [1].…”

Section: Dynamic Risk Assessmentsmentioning

confidence: 99%

“…For a good list of articles about risk assessments we refer to [1]. While first simple or dynamic risk assessments of random variables have been studied, the focus of the investigations is now the dynamic assessments of processes either with discret or continuous time space with finite or infinite time horizon, see for instance [3], [4], [5], [14], [15], [6], [1], [12], [10].…”

Section: Introductionmentioning

confidence: 99%

Asymptotically stable dynamic risk assessments

Eisele

Kupper

2016

Statistics &Amp; Risk Modeling

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In this paper we study asymptotically stable risk assessments (or equivalently risk measures) which have the property that an unacceptable position cannot become acceptable by adding a huge cash-flow far in the future. Under an additional continuity assumption, these risk assessments are exactly those which have a robust representation in terms of test probabilities that are supported on a finite time interval. For time-consistent risk assessments we give conditions on their generators which guarantee asymptotic stability.

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“…| EQUILIBRIUM PRICE AND EQUILIBRIUM CoC RATEWe are now going to consider how the capital is distributed at the end of the period. We make three fundamental assumptions: (1) the policyholders receive no more than Y , that is, they do not participate in any way in profits, (2) the policyholders have priority in compensation, that is, the available capital is first used to compensate the policyholders, and (3) the shareholders 1 For a detailed discussion of the terms "Fremd"-capital versus "Eigen"-capital, seeEisele and Artzner (2011).…”

mentioning

confidence: 99%

On the cost‐of‐capital rate under incomplete market valuation

Albrecher

Eisele

Steffensen

et al. 2022

J of Risk & Insurance

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In this paper we discuss the concept of the cost-of-capital rate for an insurance company as an equilibrium in the economic triangle of policyholders, shareholders and the regulator. This provides a possible rationalization and an economic foundation for a quantity that is widely used in practice but whose value is typically neither technically nor economically well justified. We show how it can be well-founded in such a triangular equilibrium. Under a simple one-period model and a valuation procedure of a two-price economy for illiquid assets we provide a corresponding economic-theoretical quantification for the cost-of-capital rate. The resulting rates are illustrated by a number of concrete numerical examples.

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Multiperiod insurance supervision: top-down models

Cited by 10 publications

References 5 publications

Capital Valuation Adjustment and Funding Valuation Adjustment

Capital Valuation Adjustment and Funding Valuation Adjustment

Asymptotically stable dynamic risk assessments

On the cost‐of‐capital rate under incomplete market valuation

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