Abstract Real issues with the application of Minimum Capital Requirements (MCR) on the organisational level of an insurance holding has been the starting point of this paper. In contrast to the Solvency Capital Required (SCR), which is the day-to-day risk measure for insurers, the MCR comes into play in adverse circumstances. After the presentation of the concept of MCR, its formal properties are given. Applications highlight some of its shortcomings. Then a mathematical framework based on concepts of Aubin’s viability theory sketches a unifying framework for both the SCR and MCR. Finally, a control theoretic framework is illustrated in a Cramer–Lundberg setting.
Kiesel et al. (Sat,) studied this question.