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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R. 
Title:
Portfolio optimization under Solvency II 
Abstract:
In the current low interest-rate and highly-regulated environment investing capital efficiently is one of the most important challenges insurance companies face. Certain quantitative parts of regulatory requirements (e.g. Solvency II capital requirements) result in constraints on the investment strategies. This paper mathematically describes the implications of Solvency II constraints on the investment strategies of insurance companies in an expected utility framework with a focus on the market...    »
 
Keywords:
Portfolio Optimization; Investment Strategies; Regulatory Constraints; Market Risk; Solvency II 
Journal title:
Working Paper, submitted for publication 
Year:
2017 
TUM Institution:
Lehrstuhl für Finanzmathematik