Return on risk-adjusted capital under Solvency II :...

Enlace persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS
 

Imagen del registro

Artículos Artículos Return on risk-adjusted capital under Solvency II : implications for the asset management of insurance companies - Braun, Alexander

Colección: Artículos

Título: Return on risk-adjusted capital under Solvency II : implications for the asset management of insurance companies / Alexander Braun, Hato Schmeiser, Florian Schreiber

Notas: Sumario: We derive a European life insurer's return on risk-adjusted capital (RORAC) under the Solvency II capital requirements. To do so, we draw on historical time series data and construct a large number of asset allocations, taking into account current portfolio shares of the German life insurance industry. Subsequently, we determine expected profits and market risk capital charges by means of the standard formula. Our results indicate that the RORAC is mainly driven by the capital requirements, while the expected profits are almost irrelevant. Moreover, we show that less-diversifoed portfolios with high asset risk need to be backed by low capital buffers and therefore result in high RORAC values. Well-diversified portfolios with balanced risk-return profiles, on the other hand, involve higher capital charges and thus achieve low RORAC figures. Hence, under Solvency II, a RORAC-based performance measurement may have detrimental effects for a life insurer's stakeholders

Autores secundarios: Schmeiser, Hato Icono con lupa
Schreiber, Florian Icono con lupa

Otras clasificaciones: 214

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

Ver detalle del número Ver detalle del número