Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula

Author:

Braun Alexander,Schmeiser Hato,Schreiber Florian

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference38 articles.

1. Market Consistent ALM for Life Insurers-Steps Toward Solvency II;Bragt;Geneva Papers on Risk and Insurance-Issues and Practice,2010

2. The Impact of Private Equity on a Life Insurer's Capital Charges Under Solvency II and the Swiss Solvency Test;Braun;Journal of Risk and Insurance,2014

3. On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls;Briys;Journal of Risk and Insurance,1997

4. Christiansen , M. C. A. Niemeyer 2012 The Fundamental Definition of the Solvency Capital Requirement in Solvency II

5. Committee of European Insurance and Occupational Pensions Supervisors (CEIOPS) 2009

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1. Discretionary decisions in capital requirements under Solvency II;The Geneva Papers on Risk and Insurance - Issues and Practice;2024-07-04

2. Impact of regulatory policy adjustments on insurance company costs and cost efficiency;Finance Research Letters;2023-12

3. Responsible investments in life insurers’ optimal portfolios under solvency constraints;Zeitschrift für die gesamte Versicherungswissenschaft;2023-02-01

4. Discretionary Decisions in Capital Requirements under Solvency II;SSRN Electronic Journal;2023

5. Quantitative Market Risk Assessment for Insurance Companies;Finance: Theory and Practice;2022-09-11

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