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The main goal of the paper is the evaluation of the Solvency Need SN(h), where h is the maximal duration of the insurance contracts that we will consider. We define it as the quantile of R(h, S) − 𝔼[R(h, S)], where R(h, S) is the reserve introduced in Nichil and Vallois (Insurance: Mathematics and Economics 66:29–43, 2016) and S := (Sx, x ⩾ 0) is a systemic risk. We prove that the normalized reserve...
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