Research and publications

Introducing the EDHEC-Risk Solvency Benchmarks - Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints

This study proposes a methodological framework, based on objective and thoroughly tested academic references, to design dynamic risk management strategies in the form of benchmarks that allow for exposure to equity markets, while maintaining a target solvency capital requirement.

Author(s) :

Noël Amenc, François Cocquemas, Romain Deguest, Philippe Foulquier, Lionel Martellini, Samuel Sender

Summary :

This study proposes a methodological framework, based on objective and thoroughly tested academic references, to design dynamic risk management strategies in the form of benchmarks that allow for exposure to equity markets, while maintaining a target solvency capital requirement.

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Type : EDHEC Publication
Date : 24/01/2012
Keywords :

Institutional Investment