Opportunity Cost in Insurance
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866909909562425344 |
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| author | Maelger, Jan |
| author_facet | Maelger, Jan |
| contents | We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all regulatory frameworks with a solvency requirement defined in the form of a solvency ratio, notably Solvency II and the Swiss Solvency Test. We identify the optimal asset allocation for profit maximisation within a pre-defined risk appetite and deduce the annual opportunity cost faced by the insurance company. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_13959 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Opportunity Cost in Insurance Maelger, Jan Statistical Finance We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all regulatory frameworks with a solvency requirement defined in the form of a solvency ratio, notably Solvency II and the Swiss Solvency Test. We identify the optimal asset allocation for profit maximisation within a pre-defined risk appetite and deduce the annual opportunity cost faced by the insurance company. |
| title | Opportunity Cost in Insurance |
| topic | Statistical Finance |
| url | https://arxiv.org/abs/2511.13959 |