Bond portfolio management under Solvency II regulation

被引：4

作者：

Drenovak, Mikica ^{[1
]}

Rankovic, Vladimir ^{[1
]}

Urosevic, Branko ^{[2
,3
]}

Jelic, Ranko ^{[4
]}

机构：

[1] Univ Kragujevac, Fac Econ, Kragujevac, RS, Serbia

[2] Union Univ, Sch Comp, Belgrade, Serbia

[3] CESIfo Grp Munich, Bayern, DE, Germany

[4] Univ Sussex, Business Sch, Brighton BN1 9SL, E Sussex, England

来源：

EUROPEAN JOURNAL OF FINANCE | 2021年 / 27卷 / 09期

关键词：

Portfolio management; insurance; Solvency II; market risk; NSGA II;

D O I：

10.1080/1351847X.2020.1850499

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a novel approach to the bond portfolio optimization for insurance companies that are subject to the new Solvency II regulation. The regulatory efficient portfolios are determined using the Non-dominated Sorting Genetic Algorithm II (NSGA-II). The characteristics of the estimated efficient portfolios are examined in different market regimes. Our findings suggest low cardinality of all estimated efficient portfolios despite explicit regulatory penalties for highly concentrated portfolios. The efficient portfolios are dominated by short term and BBB rated bonds. The lack of diversification and over-exposure to bonds with higher credit risk in different market regimes represents a weakness of the Solvency II regulation with unintended consequences for management of insurance companies.

引用

页码：857 / 879

页数：23

共 50 条

[1] A portfolio optimization model with three objectives and discrete variables [J].