An analytic approach to balance sheet optimization and leverage problems of a property-liability insurance company

Shlomo Eisenberg, Yehuda Kahane

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

This paper suggests an analytic solution for the insurer's efficient frontier, i.e. the best possible combinations of profitability (expected return on equity) and risk levels. The importance of this formula lies in the explicit relationship between the risk and one of its main generators, i.e. the insurance leverage. This relationship is useful for analyzing the problem of regulation and is closely related to the more general problem of a general firm's leverage and cost of capital.

Original languageEnglish
Pages (from-to)205-210
Number of pages6
JournalScandinavian Actuarial Journal
Volume1978
Issue number4
DOIs
StatePublished - 1 Oct 1978

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