Haier, Andreas; Molchanov, Ilya; Schmutz, Michael (2016). Intragroup transfers, intragroup diversification and their risk assessment. Annals of finance, 12(3), pp. 363-392. Springer 10.1007/s10436-016-0284-6
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When assessing group solvency, an important question is to what extent
intragroup transfers may be taken into account, as this determines to which extent diversification can be achieved.We suggest a framework to explicitly describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Molchanov, Ilya, Schmutz, Michael |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics 500 Science > 510 Mathematics |
ISSN: |
1614-2446 |
Publisher: |
Springer |
Language: |
English |
Submitter: |
Ilya Molchanov |
Date Deposited: |
23 Jan 2017 11:04 |
Last Modified: |
05 Dec 2022 15:00 |
Publisher DOI: |
10.1007/s10436-016-0284-6 |
BORIS DOI: |
10.7892/boris.91127 |
URI: |
https://boris.unibe.ch/id/eprint/91127 |
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