Publication: Revisiting optimal investment strategies of value-maximizing insurance firms
Revisiting optimal investment strategies of value-maximizing insurance firms
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Koch-Medina, P., Moreno-Bromberg, S., Ravanelli, C., & Sikic, M. (2021). Revisiting optimal investment strategies of value-maximizing insurance firms. Insurance: Mathematics and Economics, 99, 131–151. https://doi.org/10.1016/j.insmatheco.2021.03.013
Abstract
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Abstract
We study capital management and investment decisions of a value-maximizing insurance firm with a broad ownership base in a discrete-time setting. We highlight that the valuation measure used to determine the value of the cash flows to shareholders should reflect two economically sound requirements: market-consistency and indifference to idiosyncratic risk. We provide a rigorous construction of this economic valuation measure and use it to derive the optimal capital-management and investment strategies that realize the economic value o
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- Moreno-Bromberg, Santiago
- Ravanelli, Claudia
- Sikic, Mario
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Koch-Medina, P., Moreno-Bromberg, S., Ravanelli, C., & Sikic, M. (2021). Revisiting optimal investment strategies of value-maximizing insurance firms. Insurance: Mathematics and Economics, 99, 131–151. https://doi.org/10.1016/j.insmatheco.2021.03.013
