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Date
2020-11Type
- Journal Article
Abstract
© 2020 Elsevier B.V. Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital requirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital constraints at the level of individual insurance companies. We demonstrate that the optimisation of profitability across the network can be achieved through risk transfer. Considering only individual insurance companies, there is no unique optimal solution and, a priori, it is not clear which solutions are fair. However, from a network perspective, we derive a unique fair solution in the sense of cooperative game theory. Implications for systemic risk are briefly discussed. Show more
Publication status
publishedExternal links
Journal / series
Insurance: Mathematics and EconomicsVolume
Pages / Article No.
Publisher
ElsevierMore
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