Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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...    »
 
Stichworte:
Portfolio Optimization; Investment Strategies; Regulatory Constraints; Market Risk; Solvency II 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Annals of Operations Research 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2019 
Band / Volume:
281 
Seitenangaben Beitrag:
193–227 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
commissioned:
not commissioned 
Technology:
Nein 
Interdisziplinarität:
Nein 
Leitbild:
Ethics & Sustainability:
Nein 
Versionen