... the solvency and Sharpe ratio for different premium loadings and contract parameters. Design/methodology/approach The authors propose a model framework extension to account for the counterparty risk of risk transfer arrangements. Copulas are used to also take into account non-linear dependencies between...

.... The authors consider the point of view of an American investor and use risk, diversification and performance measures. Design/methodology/approach The authors combine two methodologies as follows: wavelets and copulas. The authors use daily, weekly and monthly equity factor returns to calibrate wavelets...

..., quarterly and monthly updates of the financial information, disclosed by the insurer. Hato Schmeiser can be contacted at: hato.schmeiser@unisg.ch © Emerald Group Publishing Limited 2012 Capital Insurance companies Regulation Financial reporting Solvency Copulas Dependence structure...