JOURNAL ARTICLE

A Hedging Approach to Insurance Company Solvency

Abstract

In this paper, we propose a new way to keep an insurance company solvent by managing the reserve capital as well as the financial market competent that the insurance company has invested. We propose a hedging method which finds the capital requirement for keeping the company solvent by constructing a viable portfolio in the market. We will discuss an example of hedging the solvency with mean variance risk measure.

Keywords:
Solvency Business Portfolio Actuarial science Capital requirement Measure (data warehouse) Variance (accounting) Solvency ratio Portfolio insurance Finance Computer science Economics Replicating portfolio Portfolio optimization Accounting Microeconomics

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FWCI (Field Weighted Citation Impact)
17
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0.16
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Topics

Insurance and Financial Risk Management
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics
Insurance, Mortality, Demography, Risk Management
Social Sciences →  Social Sciences →  Demography
Stochastic processes and financial applications
Social Sciences →  Economics, Econometrics and Finance →  Finance

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