Implicit Options in Life Insurance: An Overview (2009)
Proper pricing and risk assessment of implicit options in life insurance contracts has gained substantial attention in recent years, which is reflected in a growing literature in this field. The...
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...
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...
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,...
Understanding the Death Benefit Switch Option in Universal Life Policies (2008)
Nadine Gatzert, Gudrun Hoermann
Universal life policies are the most popular insurance contract design in the United States. They have either a level death benefit paying a fixed face amount, or an increasing death benefit, which...
In this paper, we identify key characteristics and implications of the secondary market for life insurance. We examine the oldest secondary market, which is the market in the United Kingdom, the...
Analysis of Participating Life Insurance Contracts: A Unification Approach (2007)
Nadine Gatzert, Alexander Kling
Fair pricing of embedded options in life insurance contracts is usually conducted by using the appropriate concept of risk-neutral valuation. This concept assumes a perfect hedging strategy, which...
Risk Assessment of Life Insurance Contracts: A Comparative Study in a Lévy Framework (2007)
Nadine Gatzert, Stefan Kassberger
Common features in life insurance contracts are an interest rate guarantee and policyholder participation in the returns of insurers reference portfolio, which can be of substantial value. The aim...
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...
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...
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...
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...
In this paper, we investigate the impact of different asset management and surplus distribution strategies in life insurance on risk-neutral pricing and shortfall risk. In general, these feedback...
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...
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...
Analysis of Participating Life Insurance Contracts: A Unification Approach
Nadine Gatzert, Alexander Kling
Fair pricing of embedded options in life insurance contracts is usually conducted by using risk-neutral valuation. This pricing framework assumes a perfect hedging strategy, which insurance companies...
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...