Infrastructure Investments : Regulatory Treatment and Optimal Capital Allocation Under Solvency II

Description

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. Front Matter ....Pages I-XIII Introduction (Fabian Regele)....Pages 1-4 Overview of the infrastructure asset class (Fabian Regele)....Pages 5-23 Regulatory treatment of direct infrastructure assets (Fabian Regele)....Pages 25-36 Optimal capital allocation and solvency capital requirements for the insurance company (Fabian Regele)....Pages 37-68 Discussion of the results (Fabian Regele)....Pages 69-70 Conclusion (Fabian Regele)....Pages 71-72 Back Matter ....Pages 73-82