Pricing and Performance of Mutual Funds: Lookback versus Interest Rate Guarantees (2009)
Nadine Gatzert, Hato Schmeiser
The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a lookback guarantee and an interest rate guarantee. In a simulation analysis of different...
2005) “Capital allocation for insurance companies – what good is it (2008)
Hato Schmeiser, Hato Schmeiser, Jel-classification G
In their 2001 Journal of Risk and Insurance article, Stewart C. Myers and James A. Read, Jr., propose to use a specific capital allocation method for pricing insurance contracts. We show that in...
Nadine Gatzert, Hato Schmeiser
Most life insurance contracts embed the right to stop premium payments during the term of the contract (paid-up option). Thereby, the contract is not terminated but continues with reduced benefits...
Nadine Gatzert, Hato Schmeiser
A change in the corporate tax level can have a significant impact on rate making and capital structure for insurance companies. The purpose of this paper is to study this effect on competitive...
Management Strategies and Dynamic Financial Analysis (2008)
Martin Eling, Thomas Parnitzke, Hato Schmeiser
Dynamic financial analysis (DFA) has become an important tool in analyzing the financial situation of insurance companies. Constant development and documentation of DFA tools has occurred during the...
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
In financial conglomerates and insurance groups, enterprise risk management is becoming increasingly important in controlling and managing the different independent legal entities in the group. The...
Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies (2008)
Nadine Gatzert, Hato Schmeiser
The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capital requirements imposed by regulatory authorities. In particular, we compare...
The Effect of Capital and Risk Transfer Instruments in Financial Groups (2008)
Nadine Gatzert, Hato Schmeiser
The aim of this paper is to examine the impact of capital and risk transfer instruments on diversification and insolvency risk in a parent-subsidiary relationship. To better assess the effects, we...
The Swiss Solvency Test and its Market Implications (2008)
Martin Eling, Nadine Gatzert, Hato Schmeiser
In this paper, we first discuss the characteristics and major benefits of the Swiss risk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance...
The Impact of the Secondary Market on Life Insurers' Surrender Profits (2008)
Hato Schmeiser, Nadine Gatzert, Gudrun Hoermann
Life insurers often claim that the life settlement industry reduces their surrender profits and leads to an adverse shift in their portfolio of insured risks, i.e., bad risks remain in the portfolio...
Diversification in Financial Conglomerates (2008)
Hato Schmeiser, Nadine Gatzert
In an environment of increasingly frequent consolidation activity, the advantages and risks of corporate diversification are of great interest to regulatory authorities, financial group management,...
The Solvency II Process: Overview and Critical Analysis (2007)
Martin Eling, Hato Schmeiser, Joan T. Schmit
As early as the 1970s, European Union (EU) member countries implemented rules to coordinate insurance markets and regulation. However, with the more recent movement toward a general single EU market,...
An Analysis of Pricing and Basis Risk for Industry Loss Warranties (2007)
Nadine Gatzert, Hato Schmeiser, Denis Toplek
In recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The defining feature of ILW contracts is their dependence on an industry loss index. The...
Zur Integration heuristischer Managementstrategien in die Dynamische Finanzanalyse (2007)
Martin Eling, Thomas Parnitzke, Hato Schmeiser
Die Dynamische Finanzanalyse (DFA) hat sich in den vergangenen Jahren zu einem wichtigen Instrument zur Analyse der Finanzlage eines Versicherungsunternehmens entwickelt. Trotz der zunehmenden...
Minimum Standards for Investment Performance: A New Perspective on Non-Life Insurer Solvency (2007)
Martin Eling, Nadine Gatzert, Hato Schmeiser
The aim of this paper is to develop a new approach for assessing an insurers solvency. Instead of deriving minimum capital requirementsas it is done in solvency regulationour model provides...
Die von Investmentgesellschaften durch den Verkauf von Produkten mit integrierter finanzwirtschaftlicher Garantie eingegangenen Verpflichtungen sollten im Sinne eines true and fair view...
Versicherungsaufsicht unter Solvency II: Zwei Phasen, drei Säulen und zwei Stufen (2006)
Derzeit wird im Versicherungssektor intensiv über eine fundamentale Reform der Versicherungsaufsicht diskutiert. Ausgangspunkt ist die Kritik an den aktuellen EU-Solvabilitätsvorschriften, die nur...
Volkswirtschaftliche Implikationen aus dem Swiss Solvency Test (2006)
Hato Schmeiser, Martin Eling, Nadine Gatzert, Stefan Schuckmann, Denis Toplek
In dieser Studie werden mögliche volkswirtschaftliche Auswirkungen des Swiss Solvency Tests (SST) untersucht. Der SST wird seit Mai 2003 vom Bundesamt für Privatversicherungen entwickelt und wurde...
Finanzwirtschaftliche Garantien - eine Betrachtung der Risiken aus bilanzieller Sicht (2005)
Die von Investmentgesellschaften durch den Verkauf von Produkten mit integrierten Finanzgarantien eingegangenen Verpflichtungen sollten im Sinne eines true and fair view bilanziell adäquat...
Rezension zu: Ebers, M., Die Überschußbeteiligung in der Lebensversicherung, Baden-Baden 2001 (2002)
Analysis of embedded options in individual pension schemes in Germany
Alexander Kling, Jochen Russ, Hato Schmeiser
Newly introduced government-subsidized pension products in Germany are required to contain a promise by the seller to provide a “money-back guarantee” at the end of the term. The client is also...
Portfolio management and retirement: what is the best arrangement for a family?
Thomas Post, Helmut Gründl, Hato Schmeiser
Self-annuitization, Life-cycle asset allocation, Savings behavior, Retirement decisions, D13, D14, D91, G11, G22, G23,
Enterprise risk management in financial groups: analysis of risk concentration and default risk
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
Enterprise risk management, Copulas, Financial groups, Joint default risk, G20, G28, C16,
The Swiss Solvency Test and its Market Implications
Martin Eling, Nadine Gatzert, Hato Schmeiser
In this paper, we first discuss the characteristics and major benefits of the Swiss risk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance...
The influence of corporate taxes on pricing and capital structure in property-liability insurance
Gatzert, Nadine, Schmeiser, Hato
A change in the corporate tax level can have a significant impact on rate making and capital structure for insurance companies. The purpose of this paper is to study this effect on competitive...
Analysis of embedded options in individual pension schemes in Germany
Alexander Kling, Jochen Russ, Hato Schmeiser
Newly introduced government-subsidized pension products in Germany are required to contain a promise by the seller to provide a “money-back guarantee” at the end of the term. The client is also...
Combining fair pricing and capital requirements for non-life insurance companies
Gatzert, Nadine, Schmeiser, Hato
The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capital requirements imposed by regulatory authorities. In particular, we compare...
Capital Allocation for Insurance Companies-What Good IS IT?
In their 2001 "Journal of Risk and Insurance" article, Stewart C. Myers and James A. Read Jr. propose to use a specific capital allocation method for pricing insurance contracts. We show that in...
Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts
Nadine Gatzert, Hato Schmeiser
Most life insurance contracts embed the right to stop premium payments during the term of the contract (paid-up option). Thereby, the contract is not terminated but continues with reduced benefits...
Minimum standards for investment performance: A new perspective on non-life insurer solvency
Eling, Martin, Gatzert, Nadine, Schmeiser, Hato
The aim of this paper is to develop an alternative approach for assessing an insurer's solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirements-as...
Risikoübernahme - sollte der Staat bestimmte Versicherungsgarantien übernehmen?
Ray Rees, Martin Nell, Helmut Gründl, Hato Schmeiser, Michael Wolgast
Nach den Terrorattacken vom 11. September sehen sich die privaten Erst- und Rückversicherer mit einer völlig veränderten Risikolage konfrontiert, die sie bisher bei ihren Kalkulationen außer Acht...