英文标题：
《Intragroup transfers, intragroup diversification and their risk
assessment》
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作者：
Andreas Haier, Ilya Molchanov and Michael Schmutz
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最新提交年份：
2016
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英文摘要：
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.
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中文摘要：
在评估集团偿付能力时，一个重要的问题是在多大程度上可以考虑集团内部转移，因为这决定了在多大程度上可以实现多元化。我们建议建立一个框架来描述允许转让的家族，范围从资本的自由流动到排除任何交易。允许交易的约束被描述为随机闭集。本文重点研究了相应的偿付能力测试，这些测试相当于可接受交易的随机集的可接受选择的存在性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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