Return on risk-adjusted capital under Solvency II : implications for the asset management of insurance companies
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180025945 | ||
| 003 | MAP | ||
| 005 | 20180830121102.0 | ||
| 008 | 180808e20180701che|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a214 | ||
| 100 | $0MAPA20110016494$aBraun, Alexander | ||
| 245 | 1 | 0 | $aReturn on risk-adjusted capital under Solvency II$b : implications for the asset management of insurance companies$cAlexander Braun, Hato Schmeiser, Florian Schreiber |
| 520 | $aWe 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 | ||
| 650 | 4 | $0MAPA20080564254$aSolvencia II | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080585518$aGestión de activos | |
| 650 | 4 | $0MAPA20130006116$aRentabilidad ajustada al riesgo | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20100019443$aRequerimientos financieros | |
| 650 | $0MAPA20190001342$aAdministración de la empresa de seguros | ||
| 700 | 1 | $0MAPA20080147648$aSchmeiser, Hato | |
| 700 | 1 | $0MAPA20180012327$aSchreiber, Florian | |
| 773 | 0 | $wMAP20077100215$tGeneva papers on risk and insurance : issues and practice$dGeneva : The Geneva Association, 1976-$x1018-5895$g02/07/2018 Volumen 43 Número 3 - julio 2018 , p. 456-472 |