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Infrastructure Investments, Regulatory Treatment and Optimal Capital Allocation Under Solvency II, by Fabian Regele

Label
Infrastructure Investments, Regulatory Treatment and Optimal Capital Allocation Under Solvency II, by Fabian Regele
Language
eng
Bibliography note
Includes bibliographical references
resource.imageBitDepth
0
Literary Form
non fiction
Main title
Infrastructure Investments
Medium
electronic resource
Nature of contents
dictionaries
Responsibility statement
by Fabian Regele
Series statement
BestMasters,, 2625-3615
Sub title
Regulatory Treatment and Optimal Capital Allocation Under Solvency II
Summary
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. Contents • Overview of the Infrastructure Asset Class • Valuation Model of a Direct Infrastructure Asset • Optimal Capital Allocation and Solvency Capital Requirements for the Insurance Company • Adjustment of the Infrastructure Asset’s Regulatory Capital Charge Target Groups • Students and academics with a focus on insurance regulation, business administration, asset management • Insurance regulators and supervisors, portfolio/risk managers The Author 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
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