TY  - UNPD
A1  - Fischer, Katharina
A1  - Schlütter, Sebastian
T1  - Optimal investment strategies for insurance companies when capital requirements are imposed by a standard formula
N2  - The Solvency II standard formula employs an approximate Value-at-Risk approach to define risk-based capital requirements. This paper investigates how the standard formula’s stock risk calibration influences the equity position and investment strategy of a shareholder-value-maximizing insurer with limited liability. The capital requirement for stock risks is determined by multiplying a regulation-defined stock risk parameter by the value of the insurer’s stock portfolio. Intuitively, a higher stock risk parameter should reduce risky investments as well as insolvency risk. However, we find that the default probability does not necessarily decrease when reducing the investment risk (by increasing the stock investment risk parameter). We also find that depending on the precise interaction between assets and liabilities, some insurers will invest conservatively, whereas others will prefer a very risky investment strategy, and a slight change of the stock risk parameter may lead from a conservative to a high risk asset allocation.
T3  - ICIR Working Paper Series - No. 9/12 [04.2014] 
KW  - Solvency
KW  - Regulation Capital Requirements
KW  - Asset Allocation
KW  - Insurer Default Risk
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/76995
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-769954
PB  - International Center for Insurance Regulation
CY  - Frankfurt am Main
ER  -