Refine
Year of publication
- 2015 (149) (remove)
Document Type
- Working Paper (115)
- Part of Periodical (11)
- Book (10)
- Contribution to a Periodical (5)
- Article (4)
- Doctoral Thesis (2)
- Bachelor Thesis (1)
- Periodical (1)
Is part of the Bibliography
- no (149)
Keywords
- Solvency II (4)
- Währungsunion (4)
- systemic risk (4)
- human capital (3)
- insurance (3)
- Banking Union (2)
- Basel III (2)
- Fiscal Union (2)
- Fiskalunion (2)
- Heterogeneous Agents (2)
- Income and Wealth Inequality (2)
- Incomplete Markets (2)
- Insurance Activities (2)
- Interconnectedness (2)
- Ireland (2)
- Life Insurance (2)
- Monetary Policy (2)
- Monetary Union (2)
- Political Union (2)
- Politische Union (2)
- Product Market Competition (2)
- Systemic Risk (2)
- Systemically Important Financial Institutions (2)
- Top Income Taxation (2)
- bail-in (2)
- banking union (2)
- contagion (2)
- economic and monetary union (2)
- emergency liquidity assistance (ELA) (2)
- financial regulation (2)
- fiscal policy (2)
- historical statistics (2)
- household finance (2)
- interbank networks (2)
- liquidity (2)
- macro-prudential supervision (2)
- market discipline (2)
- monetary policy (2)
- real estate lending (2)
- regulation (2)
- social security (2)
- syndicated loans (2)
- unemployment (2)
- welfare (2)
- Aesthetics (1)
- Anchoring (1)
- Annual General Meeting (1)
- Annuity (1)
- Anticipated Inflation (1)
- Arbeitgeber (1)
- Arbeitsbereitschaft (1)
- Arbeitszeit (1)
- Asset Allocation (1)
- Asset Allocation, Contagion (1)
- Aufsichtsratsvergütung (1)
- Bank Corporate Governance (1)
- Bank Resolution (1)
- Bankenaufsicht (1)
- Banking Regulation (1)
- Barclays (1)
- Barclays Bank (1)
- Bayesian learning (1)
- Brent (1)
- Bubbles (1)
- CBRT (1)
- CSR (1)
- CSR Europe (1)
- Capital Markets Union (1)
- Carbon abatement (1)
- Central Banking (1)
- China (1)
- Choquet expected utility (1)
- Climate change economics (1)
- CoCo Bond (1)
- Coco bonds (1)
- Collateral constraints (1)
- Complexity (1)
- Conditional intensity (1)
- Conditionality (1)
- Consumer confidence (1)
- Consumption (1)
- Contagion (1)
- Contingent Convertible Capital (1)
- Corporate Governance (1)
- Credit Risk (1)
- Design Evaluation (1)
- Design Strategy (1)
- Deutsche Bank (1)
- Deutscher Corporate Governance Kodex (1)
- Different Beliefs (1)
- Disintegration (1)
- Dynamic Capabilities (1)
- EMU (1)
- ESM (1)
- EU crisis (1)
- EU industrial production (1)
- Education Subsidy (1)
- Einlageverträge (1)
- Endogenous Asset Market Participation (1)
- Endogenous Growth (1)
- Equator Principles (1)
- Erbschaftsteuer (1)
- Euro-zone Government Bonds (1)
- European Central Bank (1)
- European market fragmentation (1)
- European unemployment insurance (1)
- Eurozone (1)
- Executive Remuneration (1)
- Expected shortfall (1)
- Experiment (1)
- Experimental Asset Markets (1)
- Extracurricular Activities (1)
- Extreme value theory (1)
- Federal Reserve (1)
- Financial Assistance (1)
- Financial Crisis (1)
- Financial Expert (1)
- Financial education (1)
- Financial literacy (1)
- Fiscal Consolidation (1)
- Fiscal Policy (1)
- Fiscal Stabilization (1)
- Forecasting of Market Success (1)
- Forward-looking models (1)
- Framing Effect (1)
- GDP growth (1)
- Geldpolitik (1)
- General Equilibrium (1)
- Generation X (1)
- Generation Y (1)
- Germany (1)
- Globalization (1)
- Gold Standard (1)
- Graccident (1)
- Granger causality (1)
- Greece (1)
- Grexit (1)
- Griechenland (1)
- Growth (1)
- Health shocks (1)
- Heterogeneous agents (1)
- Hierarchies (1)
- Household debt (1)
- IFRS 9 (1)
- Incomplete markets (1)
- India (1)
- Innovation (1)
- Interest Rate Guarantees (1)
- International Finance (1)
- Investment Decisions (1)
- Investment attitudes (1)
- Investor Sentiment (1)
- JPMorgan Chase (1)
- JPMorgan Chase Bank (1)
- LBOs (1)
- Labor Markets (1)
- Labor income risk (1)
- Leading indicator (1)
- Learning (1)
- Leveraged buyouts (1)
- Life Insurers (1)
- Life insurance companies (1)
- Liquidity (1)
- Living Wills (1)
- Long-run Risk (1)
- Low Interest Rates (1)
- MTS Bond Market (1)
- Minimum Return Guarantees (1)
- Mortality risk (1)
- Multiple equilibria (1)
- Narrative Approach (1)
- News (1)
- Niedrigzinsumfeld (1)
- Non-bank lead arrangers (1)
- Non-governmental Organizations (1)
- Optimal Policy (1)
- Optimal Policy Mix (1)
- Over-Confidence (1)
- PPP (1)
- Peers (1)
- Pension system (1)
- Planning (1)
- Portfolio choice (1)
- Price Expectations (1)
- Product Design (1)
- Professionalisierung der Aufsichtsratstätigkeit (1)
- Progressive Taxation (1)
- Prüfungsausschuss (1)
- Public Goods (1)
- Quantitative Easing (1)
- Regulierung (1)
- Repo Markets (1)
- Resolution Planning (1)
- Resource Acquisition (1)
- Restructuring (1)
- Retail gasoline price (1)
- Risk Assessment (1)
- SVAR (1)
- Say on Pay (1)
- Schenkungsteuer (1)
- Self-exciting point process (1)
- Severance Pay (1)
- Shadow Banking (1)
- Signaling (1)
- Single Resolution Mechanism (1)
- Single Supervisory Mechanism (1)
- Social Security (1)
- Social Security solvency (1)
- Soft Information (1)
- Sovereign Debt (1)
- Sovereign Risk (1)
- Sterling (1)
- Steuerpolitik (1)
- Structural Bank Reform (1)
- Tax Multiplier (1)
- Term life insurance (1)
- Tone (1)
- Transitional Dynamics (1)
- Turkey (1)
- Turning points (1)
- UBS - Schweizerische Bankgesellschaft (1)
- Value-at-Risk (1)
- Venture Capital (1)
- Versicherungen (1)
- Vertrag über die Arbeitsweise der EU (AEUV) (1)
- WTI (1)
- Weak Instruments (1)
- Wealth Accumulation (1)
- aggregate risk (1)
- ambiguity (1)
- asset pricing (1)
- asymmetric shocks (1)
- bailouts (1)
- bank and non-bank financial intermediation (1)
- bank lending channel (1)
- bank loans (1)
- bank regulation (1)
- banking (1)
- banking networks (1)
- banking supervision, (1)
- banks (1)
- bubbles (1)
- business cycles (1)
- capital ratios (1)
- capital structure (1)
- cash flow sensitivity (1)
- cash holdings (1)
- catastrophic events (1)
- centrality metrics (1)
- compensation (1)
- compensation design (1)
- consumption hump (1)
- credit losses (1)
- cross‐country analysis (1)
- crowding out (1)
- debt issuance (1)
- debt sustainability (1)
- decentralization theorem (1)
- delayed retirement (1)
- demographic change (1)
- deposits (1)
- disaggregation (1)
- discretion (1)
- distribution of welfare (1)
- dynamic inconsistency (1)
- economic policy (1)
- elections (1)
- euro (1)
- exchange rate (1)
- expectations (1)
- experimental asset markets (1)
- expert forecasts (1)
- family firms (1)
- federal transfers (1)
- financial fragility (1)
- financial literacy (1)
- financial retrenchment (1)
- financial services (1)
- financial spillover (1)
- financial stability (1)
- financing policy (1)
- fire sales (1)
- fiscal federalism (1)
- fiscal transfers (1)
- fiscal union (1)
- forecast combination (1)
- functional finance approach (1)
- global banking (1)
- government (1)
- government bonds (1)
- greek crisis (1)
- habit formation (1)
- housing expenditure share (1)
- idiosyncratic risk (1)
- import prices (1)
- impulse analysis (1)
- incentive compatibility (1)
- inflation (1)
- interbank market (1)
- interest rate elasticity (1)
- interest rates (1)
- international lendin (1)
- international taxation (1)
- investment (1)
- jumps (1)
- labour economics (1)
- labour market policies (1)
- level playing field (1)
- life-cycle household decisions (1)
- life-cycle hypothesis (1)
- lifetime income (1)
- liftoff (1)
- likelihood insensitivity (1)
- location decisions (1)
- long time series (1)
- lump sum (1)
- macro-prudential policy (1)
- macro-prudential tools (1)
- managerial incentives (1)
- maturity (1)
- monetary transmission (1)
- multiple point of entry (1)
- multiplex networks (1)
- natural experiment (1)
- negativer Zins (1)
- network model (1)
- non-linear VAR (1)
- oil market (1)
- open economy (1)
- optimal investment (1)
- optimum currency area (1)
- panel VAR (1)
- pension (1)
- pension reform (1)
- policy normalization (1)
- policy rules (1)
- political economy (1)
- population aging (1)
- principal-agent models (1)
- prudential regulation (1)
- real-time data (1)
- rent seeking (1)
- renting vs. owning home (1)
- retirement age (1)
- risk-sharing (1)
- saving puzzles (1)
- savings accounts (1)
- secrecy (1)
- shadow banking (1)
- single point of entry (1)
- sovereign debt (1)
- spread premium (1)
- state-owned enterprises (1)
- stochastic volatility (1)
- stock market participation (1)
- strategic interaction of regulators (1)
- structural reforms (1)
- survey expectations (1)
- systemic importance (1)
- tax haven (1)
- tax havens (1)
- tax information exchange (1)
- tax information exchange agreements (1)
- taxing rights (1)
- threshold vector auto-regressive models (1)
- tragedy of the commons (1)
- transitional dynamics (1)
- wages (1)
- welfare loss (1)
- world interest rates (1)
Institute
- Wirtschaftswissenschaften (149) (remove)
Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a prominent share of the total portfolio. This contribution aims to assess and quantify the effects of the current low interest rate phase on the balance sheet of a representative German life insurer, given the current asset allocation and the outstanding liabilities. To do so, we generate a stochastic term structure of interest rates as well as stock market returns to simulate investment returns of a stylized life insurance business portfolio in a multi-period setting. Based on empirically calibrated parameters, we can observe the evolution of the life insurers’ balance sheet over time with a special focus on their solvency situation. To account for different scenarios and in order to check the robustness of our findings, we calibrate different capital market settings and different initial situations of capital endowment. Our results suggest that a prolonged period of low interest rates would markedly affect the solvency situation of life insurers, leading to a relatively high cumulative probability of default, especially for less capitalized companies. In addition, the new reform of the German life insurance regulation has a beneficial effect on the cumulative probability of default, as a direct consequence of the reduction of the payouts to policyholders.
This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, on 3 groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. We then analyze the determinants of the systemic risk contribution within the insurance industry by using balance sheet level data in a broader sample. Our evidence suggests that i) the insurance industry shows a persistent systemic relevance over time and plays a subordinate role in causing systemic risk compared to banks, and that ii) within the industry, those insurers which engage more in non-insurance-related activities tend to pose more systemic risk. In addition, we are among the first to provide empirical evidence on the role of diversification as potential determinant of systemic risk in the insurance industry. Finally, we confirm that size is also a significant driver of systemic risk, whereas price-to-book ratio and leverage display counterintuitive results.
WiWi news 3/2015
(2015)
Capital maintenance rules are part of a legal capital regime that consists of rules on raising capital and rules on maintaining it. The function of these rules is the protection of the corporation’s creditors. This is evidenced by the fact that in public as well as private companies the provisions on legal capital are not open to disapplication or variation even with unanimous shareholder consent. Thus, providing the company with a minimum of funding and ensuring equal treatment of shareholders are mere reflexes of creditor protection or, at best, ancillary purposes of legal capital. Legal capital is part of a corporation’s equity. The key feature of equity is that it ranks behind the claims of other stakeholders in the distribution of a corporation’s assets. Consequently, equity will also be the first part of a corporation’s funds to be depleted by losses. Capital maintenance rules seek to enforce this order of priority of different groups of stakeholders by restricting distributions to shareholders. Such restrictions are not unique to legal systems that have adopted a legal capital regime. A prominent example of a statute that has eliminated mandatory legal capital is the Delaware General Corporation Law. § 154 DCGL leaves it up to the directors to decide whether any part of the consideration received by the corporation for its shares shall be attributed to capital. Thus, a Delaware corporation need not have any stated capital. This has significant impact on the funds available for distribution to shareholders. Pursuant to § 170 (a) DGCL dividends may only be paid out of surplus or, in the absence of surplus, out of net profits of the current or the preceding fiscal year. § 154 DGCL defines surplus as the excess of a corporation’s net assets over the amount of its capital, and net assets as the amount by which total assets exceed total liabilities. A corporation without stated capital may, therefore, distribute all of its net assets to its shareholders and continue business without any equity on its balance sheet. This highlights the difference between the different approaches to creditor protection in Germany and the U.S. Both legal systems acknowledge the priority of creditors over shareholders in corporate distributions. However, German law seeks to give creditors additional comfort by requiring companies to raise and maintain additional layers of assets above and beyond those corresponding to the company’s liabilities that may not be depleted by way of distributions to shareholders. While private companies must merely raise and maintain their stated capital, public companies are required to raise and maintain additional equity accounts unavailable for distributions to shareholders such as the share premium account1 and the legal reserve.2
In recent years a number of objections have been raised against this concept of creditor protection. Critics argue that contractual arrangements are a more efficient means for protecting the interests of creditors.3 Capital maintenance does not prevent creditors from negotiating for more stringent protection of their claims such as collateral or financial covenants. It does, however, provide a minimum standard of protection for the benefit of creditors who lack the commercial experience or the bargaining power or who, like tort victims, are simply unable to negotiate for contractual safeguards. Capital maintenance ensures that their protection against excessive distributions does not depend on large creditors who are free to waive covenants that, in effect, benefit all creditors in exchange for individual arrangements that work exclusively in their favour.