© 1989

Financial Models of Insurance Solvency

  • J. David Cummins
  • Richard A. Derrig

Table of contents

  1. Front Matter
    Pages i-xxv
  2. Albert S. Paulson, R. Dixit
    Pages 37-55
  3. Howard R. Waters
    Pages 57-86
  4. C. D. Daykin, G. D. Bernstein, S. M. Coutts, E. R. F. Devitt, G. B. Hey, D. I. W. Reynolds et al.
    Pages 87-149
  5. Yehuda Kahane, Charles S. Tapiero, Laurent Jacques
    Pages 219-241
  6. Neil Doherty
    Pages 267-281
  7. J. David Cummins
    Pages 283-302
  8. Back Matter
    Pages 355-363

About this book


The First International Conference on Insurance Solvency was held at the Wharton School, University of Pennsylvania from June 18th through June 20th, 1986. The conference was the inaugural event for Wharton's Center for Research on Risk and Insurance. In atten­ dance were thirty-nine representatives from Australia, Canada, France, Germany, Israel, the United Kingdom, and the United States. The papers presented at the Conference are published in two volumes, this book and a companion volume, Classical Insurance Solvency Theory, J. D. Cummins and R. A. Derrig, eds. (Norwell, MA: Kluwer Academic Publishers, 1988). The first volume presented two papers reflecting important advances in actuarial solvency theory. The current volume goes beyond the actuarial approach to encom­ pass papers applying the insights and techniques of financial economics. The papers fall into two groups. The first group con­ sists of papers that adopt an essentially actuarial or statistical ap­ proach to solvency modelling. These papers represent methodology advances over prior efforts at operational modelling of insurance companies. The emphasis is on cash flow analysis and many of the models incorporate investment income, inflation, taxation, and other economic variables. The papers in second group bring financial economics to bear on various aspects of solvency analysis. These papers discuss insurance applications of asset pricing models, capital structure theory, and the economic theory of agency.


Distribution Finance Funds cash flow insurance

Editors and affiliations

  • J. David Cummins
    • 1
  • Richard A. Derrig
    • 2
  1. 1.Department of Insurance, The Wharton SchoolUniversity of PennsylvaniaPhiladelphiaUSA
  2. 2.Massachusetts Rating BureauBostonUSA

Bibliographic information

  • Book Title Financial Models of Insurance Solvency
  • Editors J. David Cummins
    Richard A. Derrig
  • Series Title Huebner International Series on Risk, Insurance, and Economic Security
  • DOI
  • Copyright Information Springer Science+Business Media B.V. 1989
  • Publisher Name Springer, Dordrecht
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-0-7923-9018-3
  • Softcover ISBN 978-94-010-7631-9
  • eBook ISBN 978-94-009-2506-9
  • Series ISSN 0924-5014
  • Edition Number 1
  • Number of Pages XXVI, 364
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
    Business and Management, general
  • Buy this book on publisher's site
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