Buch, Englisch, 82 Seiten, Book, Format (B × H): 148 mm x 210 mm, Gewicht: 1358 g
Reihe: BestMasters
Regulatory Treatment and Optimal Capital Allocation Under Solvency II
Buch, Englisch, 82 Seiten, Book, Format (B × H): 148 mm x 210 mm, Gewicht: 1358 g
Reihe: BestMasters
ISBN: 978-3-658-20163-0
Verlag: Springer
Fabian Regele examines the appropriateness of the current regulatory treatment and the general suitability of unlisted infrastructure equity investments for the investment purposes of insurance companies. The employed valuation model of a stylized infrastructure asset delivers sound economic results and is consistent with the typical J-curve effect of the cumulative cash flows of these assets. In the context of a portfolio optimization, the infrastructure asset improves the insurance company’s solvency situation by lowering its default probability and increasing its solvency ratio. In regard to the asset’s risk contribution, there is a time-variant occurrence of certain risk channels during its lifecycle that leads to substantial differences in the risk exposure of the insurance company.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Overview of the Infrastructure Asset Class.- Valuation Model of a Direct Infrastructure Asset.- Optimal Capital Allocation and Solvency Capital Requirements for the Insurance Company.- Adjustment of the Infrastructure Asset’s Regulatory Capital Charge.