A Review of Selected Equity and Credit Investment Strategies of Reinsurer

Martin KOCÚREK

https://doi.org/10.53465/EDAMBA.2023.9788022551274.104-115

 

Abstract. This paper analyses specific type of investor on financial markets – a reinsurance company and its value-creating process, with focus on its investment activities. A special attention is focused on reinsurer’s idiosyncratic investor’s profile due to core business activities, i.e. underwriting. This makes its investment profile an objectives different to other market participants. We modelled and analysed reinsurer’s three main investment strategies based on underlying asset classes of particular portfolios. Each of these portfolios is comprising of three sub-portfolios which are managed by different portfolio managers. Analysed investment strategies are: (i) Listed Equity Portfolio, (ii) Corporate Credit USD Portfolio and (iii) Structured Credit USD Portfolio. We analysed and compared performance of these strategies, risk-adjusted performance, volatility and duration (where applicable). Performance of investment strategies is assessed on 2010-2015 time-frame against selected composite benchmark. This period was chosen for analysis due to the relative macroeconomic stability of previous decade (2010-2019) which have been dominated by strong returns among many asset classes.

Keywords: Reinsurer, Investment Strategies, Portfolio Management

JEL classification: G22, G11, G32

Fulltext: PDF

Online publication date: 25 January 2024

ISBN: 978-80-225-5127-4

Publisher: University of Economics in Bratislava

Pages: 104-115

 

To cite this proceedings paper (STN ISO 690 and 690-2): 

KOCÚREK, M. 2024. A Review of Selected Equity and Credit Investment Strategies of Reinsurer. In PETROVSKÁ, F. (ed.). EDAMBA 2023: Conference Proceedings. Bratislava: University of Economics in Bratislava, 2024. ISBN 978-80-225-5127-4, pp. 104-115

https://doi.org/10.53465/EDAMBA.2023.9788022551274.104-115