1-4 September 2015
Angers - France
Europe/Paris timezone

Group solvency tests, intragroup transfers and intragroup diversification: a set-valued perspective

3 Sep 2015, 10:50
Angers - France

Angers - France


Dr Michael Schmutz (University of Berne)


The aim of risk-based solvency frameworks, such as Solvency II to be introduced in the EU and the Swiss Solvency Test (SST) that has been in force in Switzerland since 2011, is to assess the financial health of insurance companies. This is achieved by quantifying capital adequacy by calculating the solvency capital requirement (SCR). These calculations are based on scalar risk measures. Assessing the financial health of insurance groups (of several connected companies) is an even more challenging task; a variety of approaches can be taken to tackle the issue. Aspects of the most well-known approaches, and modified versions of them, are discussed based on a set-valued perspective.

Primary author

Dr Michael Schmutz (University of Berne)


Mr Andreas Haier (University of Berne) Prof. Ilya Molchanov (University of Berne)

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