Benutzer: Gast  Login
Titel:

Portfolio optimization under Solvency II

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; Kriebel, P.; Wahl, M.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
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
Volltext / DOI:
doi:10.1007/s10479-018-2835-x
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX
Versionen