Optimal Price Setting and Insurer Capital Management in a Multiple Line Context

References

Chandra, V., and M. Sherris. 2006. “Capital Management and Frictional Costs in Insurance [Online].” Australian Actuarial Journal 12:399–447.Search in Google Scholar

Cummins, J.D. 1988. “Risk-Based Premiums for Insurance Guaranty Funds.” Journal of Finance 43:823–839.10.1111/j.1540-6261.1988.tb02607.xSearch in Google Scholar

Cummins, J.D. 2000. “Allocation of Capital in the Insurance Industry.” Risk Management and Insurance Review 3:7–27.10.1111/j.1540-6296.2000.tb00013.xSearch in Google Scholar

D’ Arcy, S. 2011. “Capital Allocation in the Property-Liability Insurance Industry.” Variance Advancing the Science of Risks 5:141–157.Search in Google Scholar

Dhaene, J., A. Tsanakas, E.A. Valdez, and S. Vanduffel, 2010, Optimal Capital Allocation Principles, working paper.10.1111/j.1539-6975.2011.01408.xSearch in Google Scholar

Doherty, N., and J. Garven. 1986. “Price Regulation in Property-Liability Insurance: A Contingent Claims Approach.” Journal of Finance 41:1031–1050.10.1007/978-94-015-7957-5_28Search in Google Scholar

Erel, I., S.C. Myers, and J.A. Read, Jr. 2015. “A Theory of Risk Capital.” Journal of Financial Economics 118:620–635.10.1016/j.jfineco.2014.10.006Search in Google Scholar

Froot, K., and J. Stein. 1998. “Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach.” Journal of Financial Economics 47:55–82.10.3386/w5403Search in Google Scholar

Gatzert, N., and H. Schmeiser. 2008. “Combining Fair Pricing and Capital Requirement for Non-Life Insurance Companies.” Journal of Banking and Finance 32:2589–2596.10.1016/j.jbankfin.2008.05.009Search in Google Scholar

Gatzert, N., G. Schmitt-Hoermann, and H. Schmeiser. 2012. “Optimal Risk Classification with an Application to Substandard Annuities.” North America Actuarial Journal 16:462–486.10.1080/10920277.2012.10597643Search in Google Scholar

Gründl, H., and H. Schmeiser. 2007. “Capital Allocation for Insurance Companies – What Good IS IT?.” Journal of Risk and Insurance 74 (2):301–317.10.1111/j.1539-6975.2007.00214.xSearch in Google Scholar

Ibragimov, R., D. Jaffee, and J. Walden. 2010. “Pricing and Capital Allocation for Multiline Insurance Firms.” Journal of Risk and Insurance 77 (3):551–578.10.1111/j.1539-6975.2010.01353.xSearch in Google Scholar

Kielholz, W. 2000. “The Cost of Capital for Insurance Companies.” The Geneva Papers on Risk and Insurance 25:4–24.10.1111/1468-0440.00044Search in Google Scholar

Kliger, D., and B. Levikson. 1998. “Pricing Insurance Contracts: An Economic Viewpoint.” Insurance: Mathematics and Economics 22:243–249.10.1016/S0167-6687(98)00002-XSearch in Google Scholar

Maume-Dcshamps, V., D. Rulliere, and K. Said, 2015, A Risk Management Approach to Capital Allocation, working paper.Search in Google Scholar

Merton, R.C. 1977. “An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees.” Journal of Banking and Finance 1:3–11.10.1016/0378-4266(77)90015-2Search in Google Scholar

Merton, R.C., and A.F. Perold. 1993. “Theory of Risk Capital in Financial Firms.” Journal of Applied Corporate Finance 6:16–32.10.7312/chew14362-007Search in Google Scholar

Myers, S.C., and J.A. Read, Jr. 2001. “Capital Allocation for Insurance Companies.” Journal of Risk and Insurance 68:545–580.10.2307/2691539Search in Google Scholar

Perold, A.F. 2005. “Capital Allocation in Financial Firms.” Journal of Applied Corporate Finance 17:110–118.10.1111/j.1745-6622.2005.00051.xSearch in Google Scholar

Phillips, R.D., J.D. Cummins, and F. Allen. 1998. “Financial Pricing of Insurance in the Multiple-Line Insurance Company.” Journal of Risk and Insurance 65 (4):597–636.10.2307/253804Search in Google Scholar

Ruhm, D., 2003, Capital Allocation Using the Ruhm-Mango-Kreps Algorithm, Presentation at the Enterprise Risk Management Symposium, Session CS-13: Risk-Adjusted Capital Allocation.Search in Google Scholar

Sherris, M. 2006. “Solvency, Capital Allocation, and Fair Rate of Return in Insurance.” Journal of Risk and Insurance 73 (1):1539–6975.10.1111/j.1365-2966.2006.00166.xSearch in Google Scholar

Tanthanongsakkun, S., D. Pitt, and S. Treepongkaruna. 2009. “A Comparison of Corporate Bankruptcy Models in Australia: The Merton Vs Accounting-Based Models.” Asia-Pacific Journal of Risk and Insurance 3:93–112.10.2202/2153-3792.1042Search in Google Scholar

Taylor, G. 1994. “An Equilibrium Model of Insurance Pricing and Capitalization.” Journal of Risk and Insurance 62:409–446.10.2307/253818Search in Google Scholar

Turner, A.L. 1981. “Insurance in an Equilibrium Asset-Pricing Model.” In Fair Rate of Return in Property-Liability Insurance, edited by J.D. Cummins and S.E. Harrington. Dordrecht: Kluwer Nijhoff Publishing.Search in Google Scholar

Yow, S., and M. Sherris (2007), Enterprise Risk Management, Insurance Pricing and Capital Allocation, working paper, available online at: http://wwwdocs.fce.unsw.edu.au/actuarial/research/papers/2007/iisyowsherrisfinal.pdfSearch in Google Scholar

Zanjani, G. 2002. “Pricing and Capital Allocation in Catastrophe Insurance.” Journal of Financial Economics 65:283–305.10.1016/S0304-405X(02)00141-1Search in Google Scholar