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Title:

Portfolio optimization under Solvency II

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Fulltext / DOI:
doi:10.1007/s10479-018-2835-x
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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