... 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...

... companies Regulation Financial reporting Solvency Copulas Dependence structure Since the early 1990s, most insurance regulators have introduced a system of risk‐based capital standards (for the following paragraph see, e.g. Cummins and Phillips, 2009). Some of the first countries to do...