Efficient risk allocation within a non-life insurance group under Solvency II Regime
研究了非寿险集团如何通过最优的比例风险转移（保费和负债转移）来降低整个集团的技术准备金和最低资本要求，对大型保险集团尤其有利。
Intra-group transfers are risk management tools that are usually widely used to optimise the risk position of an insurance group. In this paper, it is shown that premium and liability transfers could be optimally made in such a way as to reduce \nthe amount of Technical Provisions and Minimum Capital Requirement for the entire insurance conglomerate. These levels of required capital represent the minimal amount that needs to be held by the insurance group without regulator intervention, according to the Solvency II regulation. We assume that only proportional risk transfers are feasible, since such transfers are not difficult to administer for a large scaled insurance group, as is always the case. In addition, any risk shifting should be made for commercial purposes in order to be considered acceptable by the local regulators that impose restrictions on how much the assets within an insurance group are fungible. Our numerical examples illustrate the efficiency of the optimal proportional risk transfers which can easily be implemented, in terms of computation, in any well-known solver even for an insurance conglomerate with many subsidiaries. We found that our proposed optimal proportional allocations are more beneficial for large insurance group, since the relative reduction in capital requirement tends to be small, whereas the gain in absolute terms is quite significant for large scaled insurance group.