Journal article

On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of Solvency and Recovery Requirements

Benjamin Avanzi, Lars Frederik Brandt Henriksen, Bernard Wong

ASTIN Bulletin | Cambridge University Press (CUP) | Published : 2018


We consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber and Shiu, 2003). The company that is considered is allowed to distribute excess profits (traditionally referred to as dividends in the literature), but is regulated and is subject to particular regulatory (solvency) constraints. Because of the bivariate nature of the surplus formulation, such distributions of excess profits can take two alternative forms. These can originate from a reduction of assets (and hence a payment to owners), but also from an increase of liabilities (when these represent the wealth of owners, such as in pension funds). The latter is particul..

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University of Melbourne Researchers


Awarded by Australian Research Council

Awarded by Natural Science and Engineering Research Council of Canada

Funding Acknowledgements

This research was partially supported under Australian Research Council's Linkage Projects funding scheme (project number LP130100723). Furthermore, Avanzi and Henriksen acknowledge support from a grant of the Natural Science and Engineering Research Council of Canada (project number RGPIN-2015-04975). The views expressed herein are those of the authors and are not necessarily those of the supporting organisations.