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Infrastructure Investments - Regulatory Treatment and Optimal Capital Allocation Under Solvency II (Paperback, 1st ed. 2018)
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Infrastructure Investments - Regulatory Treatment and Optimal Capital Allocation Under Solvency II (Paperback, 1st ed. 2018)
Series: BestMasters
Expected to ship within 10 - 15 working days
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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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