234 research outputs found
On the Group Level Swiss Solvency Test
In this paper we elaborate on Swiss Solvency Test (SST) consistent group diversification effects via optimizing the web of capital and risk transfer (CRT) instruments between the legal entities. A group level SST principle states that subsidiaries can be sold by the parent company at their economic value minus some minimum capital requirement. In a numerical example we examine the dependence of the optimal CRT on this minimum capital requirement. Our findings raise the question of how to actually implement this group level SST principle and how to define the respective level of minimum capital requirements, in particular.convex optimization; group diversification; minimum capital requirement; Swiss solvency test
Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators
We study the existence and uniqueness of minimal supersolutions of backward
stochastic differential equations with generators that are jointly lower
semicontinuous, bounded below by an affine function of the control variable and
satisfy a specific normalization property
Dynamic monetary risk measures for bounded discrete-time processes
We study time-consistency questions for processes of monetary risk measures
that depend on bounded discrete-time processes describing the evolution of
financial values. The time horizon can be finite or infinite. We call a process
of monetary risk measures time-consistent if it assigns to a process of
financial values the same risk irrespective of whether it is calculated
directly or in two steps backwards in time, and we show how this property
manifests itself in the corresponding process of acceptance sets. For processes
of coherent and convex monetary risk measures admitting a robust representation
with sigma-additive linear functionals, we give necessary and sufficient
conditions for time-consistency in terms of the representing functionals.Comment: 41 page
- …