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Possible Unintended Consequences of Basel III and Solvency II Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   In today’s financial system, complex financial institutions are connected through an opaque network of financial exposures. These …

Price Optimization For New Business Profit and Growth Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Non-life companies want to maximize profit ts from new business. Price optimization can make the diff erence. To write more new business, property …

Enhancing insurer value through reinsurance, dividends and capital optimization: an expected utility approach Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 The paper investigates the existence of risk management incentives in insurance in the …

Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Large systematic risks, such as those arising from natural catastrophes, climatic  changes and uncertain …

Guaranteed Optimization in Insurance of Catastrophic Risks Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 The proposed approach to the insurance of regionally distributed property against risk catastrophes is based on finding statistically robust …

Portfolio Optimisation Using Value at Risk Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Optimal portfolios are normally computed using the portfolio risk measured in terms of its variance. However, performance risk is a problem if the portfolio …

Modelling and optimization of risk Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 This paper surveys the most recent advances in the context of decision making under uncertainty, with an emphasis on the modelling of risk-averse preferences using …

Optimising Life Reinsurance strategy under risk-based capital measures Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 Explore possible impact of risk-based economic frameworks on a life insurers reinsurance strategy Risk Optimisation Economic / …

Optimization Models for Insurance Portfolio Optimization in the Presence of Background Risk Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   The liability stream of insurance companies often stretches several years into the future. Therefore, …

Optimization of the Non-Life Insurance Risk Diversification in Solvency II Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 According to the current Solvency II standard approach, non-life risk capital charges take into account geographical …

Combined Optimization of Portfolio and Risk Exposure of an Insurance Company Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22 This paper presents a model for an insurance company that controls its risk and is allowed to invest in a financial market …

Risk-minimising investment strategies Submitted by TheSecretariat on Thu, 25/06/2015 - 21:22   While Markowitz’s framework of portfolio optimisation aims to eliminate diversifiable risk, it does not consider protection against the undiversifiable, …