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Asset Allocation under Solvency II: The impact of Solvency II on the asset allocation of Swedish life insurance companies
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.).
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.).
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Tillgångsallokering och Solvens II : Regelverkets effekt på svenska livbolags placeringar (Swedish)
Abstract [en]

This thesis investigates the impact of Solvency II on the asset side of Swedish mutual life insurers. With the help of a quantitative analysis and a qualitative examination of our results we find that there will be a significant change in demand for certain products. A substantial increase in demand for government bonds and interest rate swaps with long maturities should be expected. Furthermore, both corporate and covered bonds will be more attractive investments under the new regulatory framework. Another big impact is the lower risk-adjusted return for equity, which over time will lead to a reduction in Swedish life insurers’ relatively high exposure to equity and equity based products. Furthermore, we conclude that there are large gains to be made by incorporating an optimization with regard to the solvency capital requirements dictated by the legislative texts.

Abstract [sv]

Denna uppsats har undersökt vilken inverkan Solvens II kommer ha på svenska ömsesidiga livbolags tillgångssidor. Med hjälp av en kvantitativ analys och en kvalitativ undersökning av våra resultat har vi funnit att det kommer ske en betydande förändring i efterfrågan av vissa instrument. En stor ökning på efterfrågan av statsobligationer och ränteswappar med långa löptider är att vänta. Dessutom kommer både företags- och säkerställda obligationer vara betydligt mer attraktiva investeringsalternativ under det nya regelverket. En annan stor inverkan är den lägre riskjusterade avkastningen för aktier och aktierelaterade produkter. Över tid kommer detta sannolikt leda till en reduktion av svenska livbolags relativt höga exponering har gentemot aktier. Därutöver finner vi att bolagen har mycket att vinna på att införliva en optimering med avseende på de av regelverket angivna kapitalkraven.

Place, publisher, year, edition, pages
2012. , 55 p.
Keyword [en]
Solvency II, SCR, Life insurance, Asset allocation, Portfolio theory, Regulations
Keyword [sv]
Solvens II, SCR, Livbolag, Tillgångsallokering, Portföljteori, Regleringar
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-98653OAI: oai:DiVA.org:kth-98653DiVA: diva2:538172
Educational program
Master of Science - Industrial Engineering and Management
Presentation
2012-06-26, Lindstedtsvägen 30, Stockholm, 21:08 (Swedish)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2016-10-13 Created: 2012-06-28 Last updated: 2016-10-13Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
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More styles
Language
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  • Other locale
More languages
Output format
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