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Optimal investment strategies for insurance companies in the presence of standardised capital requirements

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  • Fischer, Katharina
  • Schlütter, Sebastian

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  • Fischer, Katharina & Schlütter, Sebastian, 2012. "Optimal investment strategies for insurance companies in the presence of standardised capital requirements," ICIR Working Paper Series 09/12, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    • Handle: RePEc:zbw:icirwp:0912
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    References listed on IDEAS

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    1. Bec, Frédérique & Gollier, Christian, 2006. "Assets Returns Volatility and Investment Horizon: The French Case," IDEI Working Papers 467, Institut d'Économie Industrielle (IDEI), Toulouse, revised 30 Nov 2008.
    2. John Y. Campbell & Luis M. Viceira, 2005. "The Term Structure of the Risk–Return Trade-Off," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(1), pages 34-44, January.
    3. Kochanski, Michael, 2010. "Solvency capital requirement for German unit-linked insurance products," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 6(2), pages 33-70.
    4. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    5. Yow, Shaun & Sherris, Michael, 2008. "Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 293-339, May.
    6. Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
    7. Ray Rees & Hugh Gravelle & Achim Wambach, 1999. "Regulation of Insurance Markets," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 24(1), pages 55-68, June.
    8. Damir FILIPOVIC & Robert KREMSLEHNER & Alexander MUERMANN, 2011. "Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation," Swiss Finance Institute Research Paper Series 11-11, Swiss Finance Institute.
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    Cited by:

    1. Höring, Dirk, 2012. "Will Solvency II market risk requirements bite? The impact of Solvency II on insurers' asset allocation," ICIR Working Paper Series 11/12, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).

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    Keywords

    solvency regulation; capital requirements; asset allocation; insurer default risk;
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