Regele Infrastructure Investments

Regulatory Treatment and Optimal Capital Allocation Under Solvency II
1. Auflage 2018
ISBN: 978-3-658-20164-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 91 Seiten

Reihe: BestMasters

Fabian Regele examines the appropriateness of the current regulatory treatment and the general suitability of unlisted infrastructure equity investments for the investment purposes of insurance companies. The employed valuation model of a stylized infrastructure asset delivers sound economic results and is consistent with the typical J-curve effect of the cumulative cash flows of these assets. In the context of a portfolio optimization, the infrastructure asset improves the insurance company's solvency situation by lowering its default probability and increasing its solvency ratio. In regard to the asset's risk contribution, there is a time-variant occurrence of certain risk channels during its lifecycle that leads to substantial differences in the risk exposure of the insurance company.

Fabian Regele is a research assistant and doctoral student at the International Center for Insurance Regulation of the Goethe University Frankfurt. His research primarily focuses on insurance regulation and systemic risk of financial institutions.

Autoren/Hrsg.

Regele, Fabian

Inhaltsverzeichnis

1;Preface;6
2;Table of Contents;7
3;List of Figures;8
4;List of Tables;9
5;List of Abbreviations;10
6;1 Introduction;11
6.1;1.1 Research questions;12
6.2;1.2 Research approach;13
7;2 Overview of the infrastructure asset class;15
7.1;2.1 Current market situation for infrastructure investments;15
7.2;2.2 The risk-return profile of direct infrastructure assets;25
8;3 Regulatory treatment of direct infrastructure assets;34
8.1;3.1 Solvency II and its solvency capital requirement at a glance;34
8.2;3.2 Direct infrastructure assets under Solvency II;38
9;4 Optimal capital allocation and solvency capital requirements for the insurance company;46
9.1;4.1 Valuation model of a direct infrastructure asset;46
9.1.1;4.1.1 Model framework;46
9.1.2;4.1.2 Sensitivity analysis and findings;54
9.2;4.2 Dynamics of the insurance company´s balance sheet items;56
9.3;4.3 Optimal asset allocation under solvency requirements;59
9.3.1;4.3.1 Model framework under the VaR approach;59
9.3.2;4.3.2 Solvency capital requirements using the Solvency II standard formula;63
9.3.3;4.3.3 Analysis and findings;68
9.4;4.4 Optimal capital charge for the infrastructure´s sub-module in the equity risk´s module;75
9.4.1;4.4.1 Model framework;75
9.4.2;4.4.2 Analysis and findings;76
10;5 Discussion of the results;78
11;6 Conclusion;80
12;List of References;82
13;Appendix;88