Portfolio optimization under Solvency II
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DOI: 10.1007/s10479-018-2835-x
Abstract: In the current low interest-rate and highly-regulated environment investing capital efficiently is one of the most important challenges insurance companies face. Certain quantitative parts of regulatory requirements (e.g. Solvency II capital requirements) result in constraints… read more here.
Keywords: investment strategies; portfolio optimization; optimization solvency; solvency ... See more keywords
Contagion through common borrowers
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DOI: 10.1016/j.jfs.2018.10.001
Abstract: We propose a model in which banks are exposed to the risk of contagion through their portfolio of loans. We show that a solvency problem in one bank can be transmitted to another if they… read more here.
Keywords: solvency; contagion common; common borrowers; borrower ... See more keywords
An option pricing approach for measuring Solvency Capital Requirements in Insurance Industry
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DOI: 10.1016/j.physa.2018.05.113
Abstract: Solvency capital requirements indicated by Solvency II against longevity risk involve distortions and inconsistencies caused by the invariance of the longevity shock compared to the age and time assumed by the regulatory model. To overcome… read more here.
Keywords: pricing approach; solvency; solvency capital; capital requirements ... See more keywords
Ethanol-blended petroleum fuels: implications of co-solvency for phytotechnologies
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DOI: 10.1039/c9ra10919f
Abstract: In recent decades, there has been increasing interest in the use of ethanol-blended fuels as alternatives to unblended fossil fuels. These initiatives are targeted at combating CO2 and particulate matter emissions, as these oxygenates leave… read more here.
Keywords: petroleum fuels; fuels implications; solvency; blended petroleum ... See more keywords
Impact of financial liquidity and solvency on cost efficiency: evidence from US banking system
Sign Up to like & getrecommendations! Published in 2020 at "Studies in Economics and Finance"
DOI: 10.1108/sef-04-2019-0155
Abstract: The purpose of this paper is to evaluate the importance of financial liquidity and solvency on US commercial and domestic banks’ cost efficiency while accounting for internal and external factors.,The Stochastic Frontier Analysis and Data… read more here.
Keywords: cost efficiency; efficiency; solvency; financial liquidity ... See more keywords