Enhancement of solubility is one of the difficult tasks which become challenges in formulation development of orally administered drug with poor aqueous solubility. Poor water solubility of drugs often causes significant problems in producing formulations of sufficiently high bioavailability, preventing effective use of the drugs. 'Mixed-solvency ' concept is the phenomenon to increase the solu...

The property-liability insurance industry has experienced significant turmoil during the past decade. Three related issues have received enormous attention: increases in the frequency and severity of insurance company insolvencies, high and increasing costs of automobile and workers’ compensation coverage, and volatility in prices and in availability of commercial liability insurance coverage. ...

The purpose of this paper is to systematically analyze the equity risk module of Solvency II, the new regulatory framework in the European Union. The particularly interesting aspect of this module is that it contains a symmetric adjustment mechanism commonly known as equity dampener which shall reduce procyclicality and thus systemic risk in the insurance industry. We critically review the equi...

As part of the new regulatory framework of Solvency II, introduced by the European Union, insurance companies are required to monitor their solvency by computing a key risk metric called the Solvency Capital Requirement (SCR). The official description of the SCR is not rigorous and has lead researchers to develop their own mathematical frameworks for calculation of the SCR. These frameworks are...

In this paper we propose and study a continuous time stochastic model of optimal allocation for a defined contribution pension fund with a minimum guarantee. Usually, portfolio selection models for pension funds maximize the expected utility from final wealth over a finite horizon (the retirement time), whereas our target is to maximize the expected utility from current wealth over an infinite ...

The aim of this paper is to study optimal riskand value-based management decisions regarding a non-life insurer’s investment strategy by maximizing shareholder value based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by explicitly accounting for the policyholders’ willingness to pay depending on their risk sensitivity based ...

The projection of mortality rates is an essential part of valuing liabilities in life-insurance portfolios and pension schemes. An important tool for risk-management and solvency purposes is a stochastic projection model for mortality. We show that ARIMA models can be better representations of mortality time-series than simple random-walk models. We also consider the sometimes-overlooked issue ...

I introduce bankruptcy into a complete markets model with a continuum of ex ante identical agents who have power utility. Shares in a Lucas tree serve as collateral. The model yields a large equity premium, a low risk-free rate and a time-varying market price of risk for reasonable risk aversion. Bankruptcy gives rise to a second risk factor in addition to aggregate consumption growth risk. Thi...

Since 2008, the central banks of advanced countries have borrowed trillions of dollars from their commercial banks in the form of reserves and invested the proceeds in portfolios of risky assets. They are paying interest on those reserves. We investigate how this new style of central banking affects central banks’ solvency. We find that a central bank that pays dividends equal to net income wil...

In this paper we elaborate on Swiss Solvency Test (SST) consistent group diversification effects via optimizing the web of capital and risk transfer (CRT) instruments between the legal entities. A group level SST principle states that subsidiaries can be sold by the parent company at their economic value minus some minimum capital requirement. In a numerical example we examine the dependence of...