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Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire which yields smaller capital requirements than any other numeraire.
Colin Neil Jones, Paul Scharnhorst, Rafael Eduardo Carrillo Rangel, Pierre-Jean Alet, Baptiste Schubnel
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