Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Benefits, risks and capital efficiency consideration of a reinsurer’s investment strategy with EUR liabilities and USD assets |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 69 |
| Date | 2022 |
| Abstract Text | Partner Reinsurance Europe SE (PRESE) is a European legal entity based in Dublin and a subsidiary of PartnerRe, a Bermuda-based composite reinsurer. PRESE holds an asset-liability portfolio with a net short-duration position where its long-duration liabilities are primarily in EUR and CHF while its shorter-duration invested assets are in USD. PRESE’s investment strategy reflects the view that USD assets yield higher returns than EUR or CHF assets and that the duration risk is not adequately compensated for in market pricing. The central question of the thesis is whether currency mismatch creates a substantial risk for which the entity is not sufficiently compensated. In other words, the thesis performs a formal validation of the current in- vestment strategy. In order to do so, the thesis constructs various investment portfolios by altering the currency composition of the existing investment portfolio and applies Group Capital Model (GCM), a stochastic model, to identify the investment portfolio with the best return-risk profile. Furthermore, the thesis explores the validity of res- ults by incorporating the cost of capital and examining the feasibility of hedging with forward agreements. In the last part, the thesis briefly discusses the limitations of the methodology used. The thesis concludes that the current investment strategy is close to optimal, and no significant gains can be obtained through currency reallocation. |
| Export |
BibTeX
|