The values of insurance companies under different uncertain portfolios

Knut K. Aase*, Isaac Meilijson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


The value of an insurance company mainly depends on the premiums received in each underwriting period, the probability distribution of the accumulated claims against the company, the equity capital, and the risk-adjusted rate of return determined by the market. We analyze how the value of the company is affected by marginal changes in the underlying determinants, when there is a regulatory requirement on equity capital. The major factor we are interested in is the claims against the company in each underwriting period, which we represent by a stationary stochastic process. The existing orders for partially ranking risks do not suffice for our purpose, and new conditions are found on the risks facing the companies, for the successful ranking of the company values.

Original languageEnglish
Pages (from-to)147-158
Number of pages12
JournalGENEVA Papers on Risk and Insurance Theory
Issue number2
StatePublished - Dec 1996


  • Capital budgeting
  • Comparative statics
  • MLR-dominance
  • Mean preserving dominance
  • Stochastic dominance


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