On the Determination of Capital Charges in a Discounted Cash Flow Model. Eric R. Ulm Georgia State University

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Transcription:

On h Dmnaon o Capal Chags n a Dscound Cash Flow Modl c R. Ulm Goga Sa Unvs

Movaon Solvnc II Rqud sss dmnd on a consoldad bass sss allocad o h lns o busnss on a magnal bass Dvson no Rsvs and Capal s ln b ln Do Capal Chags on capal and chang n svs cancl o pomanc analss o ln manags?

Movaon Mulpl Canddas o Rsvs: U.S. Sauo Rsvs; U.S. G Rsvs; U.S. a Rsvs; Fa alu o abls; sss a a somwha consvav solvnc sandad Solvnc II uss 75%; pcd oss und h alsc masu dscound a h sk- a.

Incom lss Capal Chags omanc valuaon 5 5 a Rsvs valuaon Rsvs 5 4 6 8 Ya

Dscound Cash Flow Modl Ms and Cohn 987 Cummns 99 alo 994 ssums svs a chncal svs.. dscound valu o pcd losss F paam s capal.. asss = capal + chncal svs. Ovvw n Cummns and hllps

ampls Sngl mum / Sngl oss CF CF CF CF CF - CF CF CF CF

ampls Sngl mum / Sngl oss quvalnl

ampls Sngl mum / Sngl oss valuaon Rsvs and capal solvs o b nducon

ampls Sngl mum / Sngl oss Mo nuvl...

ampls Mulpl mum / Mulpl oss onsochasc and.. losss a uncolad and pmums pad wh can... Ohws plac wh n h pmum quaons and wh n h sv quaon. Mak smla subsuons o

ampls Mulpl mum / Mulpl oss Mo nuvl... Dnng accall h and on dpnd on h pmums.

ampls Mulpl mum / Mulpl oss

Solvnc II Con On od In on a asss a and labls a. Solv o nd mum s R R wh

Solvnc II Con Mulpl od as pod s smla: Oh pods qu h dmnaon o M M ~ K nsgh: h pmum whch would b chagd a m o cov h loss a m mus b M and hs pmum can b ound om h pvous analss. Fnd h mak valus cusvl.

Solvnc II Con Mulpl od M M M R M R sss om

Solvnc II Con Mulpl od R sss

Solvnc II Con Mulpl od ann s R R ann Rs R Rs ann valuaon Rsvs ann

a Rsvs a q. ncpl svs a 7%. Guss sss a ampls wo od oss 4 5 5 7 6% % M

ampls wo od oss Mak alu o abls a M 43.9689 5 ss M

ampls wo od oss Balanc Sh Ims o wo mum wo oss ampl m Capal M.. 49.69 75.85. 6.78. 48.3 7.5 6.3 9.43 5.. 5.7 Incom Samn Ims o wo mum wo oss ampl Cash Flow CF Incom Cash Chang n Capal Chags 6.78 53.5 56.3 5. 6.8 3. 38. 5..

ampls wo Ya m $ ac dncal ndvduals q.. 5 q 98 s bnomal wh pobabl.5 s bnomal wh pobabl. 43.5 3.578876

ampls wo Ya m M * M 99.5% solvnc a = 968 Dmn 4375.48 579.87683598 85. 6338.8

ampls wo Ya m pcd M Capal.. 97357.36 93348.5. 7856.9. Balanc Sh Ims o m ampl. 6989.39 3684.37 8363.6 6338.8 89854.9 3356.7 Incom Samn Ims o m ampl Cash Flow Chang n CF pcd Cash Incom 7856.9 pcd Capal Chags 5384. 39855.3 6338.8 7856. 89839.6 8353.4 6338.8 8985.4

ampls Whol W nd ssum Solv o D d c M ~ ~ D D D c D b a d k k k k k k k

ampls Whol Fnall whw... hn gvs q p M ~ p p d c M d c

ampls Whol 98 CSO on 4 a old. ssumpons mum quvalnc ncpl $3.3 Sol 99.5% a 6% $34.95 Sol 99.5% a 6.5% $7.8 Sol 99.5% a CRM 6.5% $3.37 Sol 99% a 6% $33.5 Sol 95% a 6% $9.8

ampls Whol Cash Flow pcd CF Cash Incom 883845 Chang n pcd Capal Chags 4844 3638 9453 88385 37 59478 9677 949 3 5735 875 996865 9646 Chang n pcd Cash Incom dusd pcd Capal Chags dusd Incom 3638 973497 88385 344 59478 48 8984 3854 3 875 337 844 8749

ampls Whol pcd Balanc Sh Ims 35 3 5 5 a Rsvs valuaon Rsvs Mak alus Rqud sss 5 3 4 5 6

Incom lss Capal Chags ampls Whol omanc valuaon 5 5 a Rsvs valuaon Rsvs 5 4 6 8 Ya

ampls GMDB d S d q q S M S q S d ln S d ln

ampls GMDB s S s s qma M q S Solvnc con gvs ~ ~ s S q S

ssum ampls GMDB 6% 34% q % % om opon pcng ho..94 s h paam and quaons gv:.7%

alu ampls GMDB...8.6.4... -..5..5..5 sss val Rsv Capal M -.4 Sock