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dc.contributor.authorFischer, Katharinaen_US
dc.contributor.authorSchlütter, Sebastianen_US
dc.description.abstractThe standard formula of the Solvency II framework employs an approximate value-at-risk approach to define risk-based capital requirements. The parameterization of the standard formula determines how much additional capital insurers need in order to back investments in risky assets. This paper investigates how the standard formula's stock risk calibration influences the equity position and investment strategy of a shareholder-value-maximising insurance company. Intuitively, a higher stock risk parameter should reduce the insurer's risky investments as well as his insolvency risk. However, by considering the insurer's equity level as an endogenous variable, we identify situations in which a stricter stock risk calibration leads to a significant reduction of stock investments, but leaves the actual solvency level virtually unaffected, since the insurer also lowers his equity capital position. While previous articles only deal with the statistical accuracy of the standard formula's calibration, our results shed light on the incentives resulting from different calibrations.en_US
dc.publisherInternational Center for Insurance Regulation, House of Finance, Goethe University Frankfurt am Mainen_US
dc.relation.ispartofseriesICIR Working Paper Series 09/12en_US
dc.subject.keywordsolvency regulationen_US
dc.subject.keywordcapital requirementsen_US
dc.subject.keywordasset allocationen_US
dc.subject.keywordinsurer default risken_US
dc.subject.stwInstitutioneller Anlegeren_US
dc.subject.stwSolvency IIen_US
dc.titleOptimal investment strategies for insurance companies in the presence of standardised capital requirementsen_US
dc.typeWorking Paperen_US
Appears in Collections:ICIR Working Paper Series, International Center for Insurance Regulation, Universität Frankfurt

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