Cost-of-Capital Margin for a General Insurance Liability Runoff


Under new solvency regulations, general insurance companies need to calculate a risk margin to cover possible shortfalls in their liability runoff. A popular approach for the calculation of the risk margin is the so-called cost-of-capital approach. The cost-of-capital approach involves the consideration of multiperiod risk measures. Because multiperiod risk… (More)


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@inproceedings{Salzmann2009CostofCapitalMF, title={Cost-of-Capital Margin for a General Insurance Liability Runoff}, author={Robert Salzmann and Mario V. W{\"u}thrich}, year={2009} }