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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
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 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Annals of Operations Research 
Journal listet in FT50 ranking:
nein 
Year:
2019 
Journal volume:
281 
Pages contribution:
193–227 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
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