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Return on risk-adjusted capital under Solvency II : implications for the asset management of insurance companies

Recurso electrónico / electronic resource
MARC record
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001  MAP20180025945
003  MAP
005  20180830121102.0
008  180808e20180701che|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎214
100  ‎$0‎MAPA20110016494‎$a‎Braun, Alexander
24510‎$a‎Return on risk-adjusted capital under Solvency II‎$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
7001 ‎$0‎MAPA20080147648‎$a‎Schmeiser, Hato
7001 ‎$0‎MAPA20180012327‎$a‎Schreiber, Florian
7730 ‎$w‎MAP20077100215‎$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