Title data
Baltuttis, Dennik ; Töppel, Jannick ; Tränkler, Timm ; Wiethe, Christian:
Managing the Risks of Energy Efficiency Insurances in a Portfolio Context : An Actuarial Diversification Approach.
In: International Review of Financial Analysis.
Vol. 68
(2020)
.
- 101313.
ISSN 1057-5219
DOI: https://doi.org/10.1016/j.irfa.2019.01.007
Project information
Project title: |
Project's official title Project's id Projektgruppe WI Nachhaltiges Energiemanagement & Mobilität No information |
---|
Abstract in another language
To achieve ambitious international climate goals, an increase of energy efficiency investments is necessary and, thus, a growing market potential arises. Concomitantly, the relevance of managing the risk of financing and insuring energy efficiency measures increases continuously. Energy Efficiency Insurances encourage investors by guaranteeing a predefined energy efficiency performance. However, literature on quantitative analysis of pricing and diversification effects of such novel insurance solutions is scarce. This paper provides a first approach for the analysis of diversification potential on three levels: collective risk diversification, cross product line diversification, and financial hedging. Based on an extensive real-world data set for German residential buildings, the analysis reveals that underwriting different Energy Efficiency Insurance types and constructing Markowitz Minimum Variance Portfolios halves overall risk in terms of standard deviation. We evince that Energy Efficiency Insurances can diversify property insurance portfolios and reduce regulatory capital for insurers under Solvency II constraints. Moreover, we show that Energy Efficiency Insurances potentially supersede financial market instruments such as weather derivatives in diversifying property insurance portfolios. In summary, these three levels of diversification effects constitute an additional benefit for the introduction of Energy Efficiency Insurances and may positively impact their market development.
Further data
Item Type: | Article in a journal |
---|---|
Refereed: | Yes |
Keywords: | Energy Efficiency Investment; Energy Efficiency Insurance; Energy Portfolio Risk Management; Energy Portfolio Optimization; Risk Diversification |
Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Business Administration Research Institutions Research Institutions > Affiliated Institutes Research Institutions > Affiliated Institutes > Branch Business and Information Systems Engineering of Fraunhofer FIT Research Institutions > Affiliated Institutes > FIM Research Center for Information Management Faculties Faculties > Faculty of Law, Business and Economics |
Result of work at the UBT: | No |
DDC Subjects: | 000 Computer Science, information, general works > 004 Computer science 300 Social sciences > 330 Economics |
Date Deposited: | 17 Apr 2020 06:20 |
Last Modified: | 12 Dec 2023 14:59 |
URI: | https://eref.uni-bayreuth.de/id/eprint/54958 |