Infrastructure Investments (eBook)

Regulatory Treatment and Optimal Capital Allocation Under Solvency II

Fabian Regele (Autor)

eBook Download: PDF

2017 | 1st ed. 2018
XIII, 82 Seiten
Springer Fachmedien Wiesbaden (Verlag)
978-3-658-20164-7 (ISBN)

Infos

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.

Fabian Regele is a research assistant and doctoral student at the International Center for Insurance Regulation of the Goethe University Frankfurt. His research primarily focuses on insurance regulation and systemic risk of financial institutions.

Inhalt

Preface 6
Table of Contents 7
List of Figures 8
List of Tables 9
List of Abbreviations 10
1 Introduction 11
1.1 Research questions 12
1.2 Research approach 13
2 Overview of the infrastructure asset class 15
2.1 Current market situation for infrastructure investments 15
2.2 The risk-return profile of direct infrastructure assets 25
3 Regulatory treatment of direct infrastructure assets 34
3.1 Solvency II and its solvency capital requirement at a glance 34
3.2 Direct infrastructure assets under Solvency II 38
4 Optimal capital allocation and solvency capital requirements for the insurance company 46
4.1 Valuation model of a direct infrastructure asset 46
4.1.1 Model framework 46
4.1.2 Sensitivity analysis and findings 54
4.2 Dynamics of the insurance company´s balance sheet items 56
4.3 Optimal asset allocation under solvency requirements 59
4.3.1 Model framework under the VaR approach 59
4.3.2 Solvency capital requirements using the Solvency II standard formula 63
4.3.3 Analysis and findings 68
4.4 Optimal capital charge for the infrastructure´s sub-module in the equity risk´s module 75
4.4.1 Model framework 75
4.4.2 Analysis and findings 76
5 Discussion of the results 78
6 Conclusion 80
List of References 82
Appendix 88

Produkt-Details

• Erscheint lt. Verlag: 16.11.2017
• Reihe/Serie: BestMasters
• Reihe/Serie: BestMasters
• Zusatzinfo: XIII, 82 p. 7 illus., 3 illus. in color.
• Verlagsort: Wiesbaden
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management
• Schlagworte: Direct Infrastructure Assets • Infrastructure Asset Class • Infrastructure Investments • insurance • Investments and Securities • Optimal Capital Allocation • Optimal Capital Charge • Solvency Capital Requirements • Valuation Model of a Direct Infrastructure Asset
• ISBN-10: 3-658-20164-9 / 3658201649
• ISBN-13: 978-3-658-20164-7 / 9783658201647