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PRIIP-KID : appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20220013352
003  MAP
005  20220912141041.0
008  220504e20201207esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20190012362‎$a‎Graf, Stefan
24510‎$a‎PRIIP-KID‎$b‎: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products‎$c‎Stefan Graf, Alexander Kling
520  ‎$a‎Providers of so-called packaged-retail and insurance-based investment products (PRIIPs) in the European Union have to draw up a standardized key information document (KID) since 1st of January 2018. In addition to some standard information on the product and its provider, this key information document discloses the product's riskiness by means of a summary risk indicator, its performance potential by means of performance scenarios and its costs by means of a detailed disclosure of charges including a summary cost indicator. For products with multiple investment options, the regulation requires product providers to disclose a range for the summary cost indicator for the available investment options in the product. For feasibility, in practice often only synthetic investment options instead of the whole available investment portfolio are considered to derive an estimate for the required range. Based on a standard approach used in the German and Austrian insurance market, we analyze those investment options which actually yield the lower and especially upper bound of the required range. By considering different unit-linked products with investment guarantees our results show that those synthetic investment options typically used in practice may provide a false estimation of the range and, in particular, significantly underestimate the real upper bound. Further, we provide guidance how the worst-case combination of the investment option's volatility and its charges can be found such that the summary cost indicator is maximized for the different products considered here.
650 4‎$0‎MAPA20080560287‎$a‎Proveedores
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080560942‎$a‎Unit-Linked
7001 ‎$0‎MAPA20100039014‎$a‎Kling, Alexander
7730 ‎$w‎MAP20220007085‎$g‎07/12/2020 Volúmen 10 - Número 2 - diciembre 2020 , p. 527-555‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022