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Infrastructure Investments

Regulatory Treatment and Optimal Capital Allocation Under Solvency II. BestMasters

By (author) Fabian Regele
Format: Paperback / softback
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Germany
Imprint: Springer Gabler
Published: 27th Nov 2017
Dimensions: w 148mm h 210mm d 5mm
Weight: 129g
ISBN-10: 3658201630
ISBN-13: 9783658201630
Barcode No: 9783658201630
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Synopsis
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.

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