Refine
Year of publication
- 2017 (91) (remove)
Document Type
- Working Paper (91) (remove)
Has Fulltext
- yes (91)
Is part of the Bibliography
- no (91)
Keywords
- asset pricing (4)
- bail-in (4)
- financial stability (4)
- EIOPA (3)
- MREL (3)
- TLAC (3)
- Asset pricing (2)
- Banking Union (2)
- Corporate Governance (2)
- Culture (2)
- ECB (2)
- Endogenous growth (2)
- Financial Stability (2)
- G-SIB (2)
- Guidelines (2)
- Heterogeneous innovation (2)
- Insurance (2)
- Internal Controls (2)
- Lebensversicherung (2)
- Life Insurance (2)
- Monetary Policy (2)
- Principle of Proportionality (2)
- Regulation (2)
- Risk Management (2)
- Solvency (2)
- Systemic Risk (2)
- bank resolution (2)
- banking regulation (2)
- banking supervision (2)
- financial crisis (2)
- global banks (2)
- liquidity (2)
- market discipline (2)
- model uncertainty (2)
- monetary policy (2)
- pension (2)
- portfolio choice (2)
- systemic risk (2)
- transmission (2)
- volatility (2)
- "magnet effect" (1)
- 401(k) plan (1)
- ABS (1)
- Adverse Selection (1)
- Annual General Meeting (1)
- Annuities (1)
- Asset Prices (1)
- Asset Purchase Programme (1)
- Asymmetric Tax Regimes (1)
- BRRD (1)
- BVerfG (1)
- Bank Lending (1)
- Board of Directors (1)
- Brexit (1)
- CAPM (1)
- CDS (1)
- CEO Speeches (1)
- Central Bank Communication (1)
- Counterparty Credit Limits (1)
- Counterparty Risk (1)
- Creative destruction (1)
- Democratic Legitimacy (1)
- Digitalisierung (1)
- Digitalization (1)
- Dodd-Frank Act (1)
- Dynamic Stochastic General Equilibrium Model (1)
- ECJ (1)
- EGC (1)
- EU banks (1)
- EU economic and financial services legislation (1)
- Economic and Monetary Union (1)
- Economics of Information (1)
- Epstein-Zin preferences (1)
- European Central Bank (1)
- European Insurance Union (1)
- European Insurance and Occupational Pensions Authority (1)
- European Supervisory Authorities (1)
- Expectation Error (1)
- Expectation Formation (1)
- Experience (1)
- Extrapolation (1)
- Financial Crises (1)
- Financial Institutions (1)
- Financial stability (1)
- Firm Investment (1)
- Fiscal policy (1)
- Fokker-Planck equation (1)
- Forward Guidance (1)
- Freibetrag (1)
- Futures Market (1)
- Gender Differences (1)
- German cooperative banks (1)
- German retirement system (1)
- German savings banks (1)
- Global Temperature (1)
- Government (1)
- Granger Causality (1)
- Grunderwerbsteuer (1)
- Grundsatz der Verhältnismäßigkeit (1)
- High Frequency Trading (1)
- High-Frequency Traders (HFTs) (1)
- IFRS 9 (1)
- Inclusive Finance (1)
- Insurance Companies (1)
- Insurance Supervision (1)
- Interest Rate Risk (1)
- International finance (1)
- Interne Kontrollen (1)
- Kalman Filter (1)
- Kultur (1)
- LASSO (1)
- Labor Hoarding (1)
- Landeskreditbank Baden-Württemberg (1)
- Lapse Risk (1)
- Learning (1)
- Lebensversicherung Rückkauf (1)
- Life Insurance Surrender (1)
- Liquidity Provision (1)
- Liquidity premium (1)
- Market Design (1)
- Market Efficiency (1)
- Market Making (1)
- Microfinance (1)
- Multi-Layer Network (1)
- NCAs (1)
- Network Combination (1)
- New Keynesian DSGE (1)
- News Releases (1)
- OMT (1)
- ORSA (1)
- Oil (1)
- Opening Auction (1)
- Own Self Risk Assessment (1)
- Parameter Uncertainty (1)
- Persistence (1)
- Petroleum-based Economies (1)
- Prediction (1)
- Price Discovery (1)
- Price Formation (1)
- Price Uncertainty (1)
- Privacy (1)
- Proprietary Trading (1)
- Quantile Causality (1)
- Quantitative Easing (1)
- R&D (1)
- R&D Investment (1)
- Real Effects (1)
- Reformvorschläge (1)
- Regulierung (1)
- Retirement saving (1)
- Risikomanagement (1)
- Risk Measurement (1)
- SRM (1)
- SSM (1)
- STS (simple, transparent, and standardized securitizations) (1)
- Screening (1)
- Share Deals (1)
- Single Supervisory Mechanism (1)
- Social Networks (1)
- Social Security claiming age (1)
- Solvabilitätsrichtlinien (1)
- Steuergestaltung (1)
- Stochastic Volatility (1)
- Stornorisiko (1)
- TIPS (1)
- TIPS–Treasury puzzle (1)
- Technology Adoption (1)
- Technology spillover (1)
- Textual Analysis (1)
- Textual Sentiment (1)
- Time Inconsistency (1)
- Tontines (1)
- Transparency Aversion (1)
- Transparenz Aversion (1)
- Trust Game (1)
- US top-wealth shares (1)
- Unconventional Monetary Policy (1)
- VaR (1)
- Versicherungen (1)
- Vorstand (1)
- Wage Rigidity (1)
- Welfare Costs (1)
- Zinsrisiko (1)
- adaptation (1)
- annuity (1)
- art market (1)
- asset prices (1)
- auction (1)
- bailout (1)
- bank deposits (1)
- bank integration (1)
- bank performance (1)
- bank sanctions (1)
- bank stability (1)
- banking and treasury functions (1)
- banking resolution (1)
- banking separation (1)
- banks (1)
- bond returns (1)
- capital (1)
- capital injection to banks (1)
- capital regulation (1)
- capital taxation (1)
- childcare (1)
- choice overload (1)
- civil servants (1)
- commercial banks (1)
- consumption-portfolio choice (1)
- contrarian trading (1)
- cooperation (1)
- corporate governance (1)
- credit constraints (1)
- cross-border insolvency (1)
- crowdfunding (1)
- crowdinvesting (1)
- debt relief to households (1)
- default investment (1)
- delayed retirement (1)
- disaster risk (1)
- duration of civil proceedings (1)
- dynamic portfolio choice (1)
- early retirement (1)
- equity-risk premium (1)
- fertility (1)
- finance and employment (1)
- financial constraints (1)
- financial frictions (1)
- financial institutions (1)
- financial markets regulation (1)
- financial resilience (1)
- financing constraint (1)
- financing decisions (1)
- fintech (1)
- firm heterogeneity (1)
- fiscal policy transmission (1)
- forecasting (1)
- general equilibrium (1)
- german banking system (1)
- german banks (1)
- growth (1)
- heterogeneous agents (1)
- heterogeneous expectations (1)
- high frequency data (1)
- housing debt crisis (1)
- implied volatility skew (1)
- indirect inference estimation (1)
- inflation swaps (1)
- insurance (1)
- interconnections (1)
- interdependent preferences (1)
- internal capital markets (1)
- investment decisions (1)
- investor protection (1)
- jump risk (1)
- labor supply (1)
- law enforcement (1)
- level and slope of implied volatility smile (1)
- leverage (1)
- lifetime income (1)
- liquidity risk (1)
- loanable funds (1)
- long-run growth (1)
- longrun risk (1)
- macrofinancial linkages (1)
- macroprudential franework (1)
- macroprudential policy transmission (1)
- market infrastructure (1)
- market microstructure noise (1)
- mnimum distribution requirements (1)
- model comparison (1)
- momentum trading (1)
- monetary penalties (1)
- monetary policy transmission (1)
- money creation (1)
- money in the utility function (1)
- motivation (1)
- natural disasters (1)
- network (1)
- network centrality (1)
- network visualization (1)
- newly founded firms (1)
- non-performing assets (1)
- nonlinearity (1)
- optimal inflation rate (1)
- overreaction (1)
- pairwise connectedness (1)
- pensions (1)
- portfolio allocation (1)
- precautionary recapitalization (1)
- predictability (1)
- price discovery (1)
- price reversal (1)
- price-dividend ratio (1)
- pricing estimates (1)
- private sector involvement (1)
- prohibition of proprietary trading (1)
- provisioning rules (1)
- public policy (1)
- public sector wages (1)
- regularization (1)
- regulation (1)
- repeat sale (1)
- repeated games (1)
- retention (1)
- retirement income (1)
- reversals (1)
- robust monetary policy (1)
- saving (1)
- sentiment (1)
- shocks (1)
- social centralization (1)
- social dilemmas (1)
- social security (1)
- social security claiming (1)
- solvency shocks (1)
- sticky prices (1)
- stochastic control (1)
- stochastic volatility (1)
- stock demand (1)
- structured finance (1)
- systematic risk (1)
- tax (1)
- teachers (1)
- temperature shocks (1)
- total connectedness (1)
- total directional connect- edness (1)
- trading pause (1)
- transaction costs (1)
- trend inflation (1)
- unemployment (1)
- variance decomposition (1)
- vector autoregression (1)
- vignette survey method (1)
- volatility estimation (1)
- wage gap (1)
- wealth inequality (1)
- welfare costs (1)
- wholesale shocks (1)
- winner's curse (1)
- zero lower bound (1)
- ΔCoVaR (1)
Institute
- Wirtschaftswissenschaften (91) (remove)
Different insurance activities exhibit different levels of persistence of shocks and volatility. For example, life insurance is typically more persistent but less volatile than non-life insurance. We examine how diversification among life, non-life insurance, and active reinsurance business affects an insurer's contribution and exposure to the risk of other companies. Our model shows that a counterparty's credit risk exposure to an insurance group substantially depends on the relative proportion of the insurance group's life and non-life business. The empirical analysis confirms this finding with respect to several measures for spillover risk. The optimal proportion of life business that minimizes spillover risk decreases with leverage of the insurance group, and increases with active reinsurance business.
Telemonitoring devices can be used to screen consumers' characteristics and mitigate information asymmetries that lead to adverse selection in insurance markets. However, some consumers value their privacy and dislike sharing private information with insurers. In the second-best efficient Wilson-Miyazaki-Spence framework, we allow for consumers to reveal their risk type for an individual subjective cost and show analytically how this affects insurance market equilibria as well as utilitarian social welfare. Our analysis shows that the choice of information disclosure with respect to revelation of their risk type can substitute deductibles for consumers whose transparency aversion is sufficiently low. This can lead to a Pareto improvement of social welfare and a Pareto efficient market allocation. However, if all consumers are offered cross-subsidizing contracts, the introduction of a transparency contract decreases or even eliminates cross-subsidies. Given the prior existence of a WMS equilibrium, utility is shifted from individuals who do not reveal their private information to those who choose to reveal. Our analysis provides a theoretical foundation for the discussion on consumer protection in the context of digitalization. It shows that new technologies bring new ways to challenge crosssubsidization in insurance markets and stresses the negative externalities that digitalization has on consumers who are not willing to take part in this development.
This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on the liquidity and solvency of life insurers. We model the book and market value balance sheet of an average German life insurer, subject to both GAAP and Solvency II regulation, featuring an existing back book of policies and an existing asset allocation calibrated by historical data. The balance sheet is then projected forward under stochastic financial markets. Lapse rates are modeled stochastically and depend on the granted guaranteed rate of return and prevailing level of interest rates. Our results suggest that in the case of a sharp increase in interest rates, policyholders sharply increase lapses and the solvency position of the insurer deteriorates in the short-run. This result is particularly driven by the interaction between a reduction in the market value of assets, large guarantees for existing policies, and a very slow adjustment of asset returns to interest rates. A sharp or gradual rise in interest rates is associated with substantial and persistent liquidity needs, that are particularly driven by lapse rates.
Under Solvency II, corporate governance requirements are a complementary, but nonetheless essential, element to build a sound regulatory framework for insurance undertakings, also to address risks not specifically mitigated by the sole solvency capital requirements. After recalling the provisions of the Second Pillar concerning the system of governance, the paper highlights the emerging regulatory trends in the corporate governance of insurance firms. Among others things, it signals the exceptional extension of the duties and responsibilities assigned to the board of directors, far beyond the traditional role of both monitoring the chief executive officer, and assessing the overall direction and strategy of the business. However, a better risk governance is not necessarily built on narrow rule-based approaches to corporate governance.
A tontine provides a mortality driven, age-increasing payout structure through the pooling of mortality. Because a tontine does not entail any guarantees, the payout structure of a tontine is determined by the pooling of individual characteristics of tontinists. Therefore, the surrender decision of single tontinists directly affects the remaining members' payouts. Nevertheless, the opportunity to surrender is crucial to the success of a tontine from a regulatory as well as a policyholder perspective. Therefore, this paper derives the fair surrender value of a tontine, first on the basis of expected values, and then incorporates the increasing payout volatility to determine an equitable surrender value. Results show that the surrender decision requires a discount on the fair surrender value as security for the remaining members. The discount intensifies in decreasing tontine size and increasing risk aversion. However, tontinists are less willing to surrender for decreasing tontine size and increasing risk aversion, creating a natural protection against tontine runs stemming from short-term liquidity shocks. Furthermore we argue that a surrender decision based on private information requires a discount on the fair surrender value as well.
Under Solvency II, corporate governance requirements are a complementary, but nonetheless essential, element to build a sound regulatory framework for insurance undertakings, also to address risks not specifically mitigated by the sole solvency capital requirements. After recalling the provisions of the second pillar concerning the system of governance, the paper is devoted to highlight the emerging regulatory trends in the corporate governance of insurance firms. Among others, it signals the exceptional extension of the duties and responsibilities assigned to the Board of directors, far beyond the traditional role of both monitoring the chief executive officer, and assessing the overall direction and strategy of the business. However, a better risk governance is not necessarily built on narrow rule-based approaches to corporate governance.
We study the impact of estimation errors of firms on social welfare. For this purpose, we present a model of the insurance market in which insurers face parameter uncertainty about expected loss sizes. As consumers react to under- and overestimation by increasing and decreasing demand, respectively, insurers require a safety loading for parameter uncertainty. If the safety loading is too small, less risk averse consumers benefit from less informed insurers by speculating on them underestimating expected losses. Otherwise, social welfare increases with insurers’ information. We empirically estimate safety loadings in the US property and casualty insurance market, and show that these are likely to be sufficiently large for consumers to benefit from more informed insurers.
Helmut Siekmann erläutert in seinem Beitrag die Einstandspflicht der Bundesrepublik Deutschland für die Deutsche Bundesbank und die Europäische Zentralbank. Dabei kommt er zu dem Schluss, dass weder eine „Haftung der Bundesrepublik Deutschland für Verluste der EZB noch eine Verpflichtung zur Auffüllung von aufgezehrtem Eigenkapital“ besteht.
Dieser Beitrag ist zuerst erschienen in: Festschrift für Theodor Baums zum siebzigsten Geburtstag, S. 1145-1179, Helmut Siekmann, Andreas Cahn, Tim Florstedt, Katja Langenbucher, Julia Redenius-Hövermann, Tobias Tröger, Ulrich Segna, Hrsg., Tübingen, Mohr Siebeck 2017
Financial market interactions can lead to large and persistent booms and recessions. Instability is an inherent threat to economies with speculative financial markets. A central bank’s interest rate setting can amplify the expectation feedback in the financial market and this can lead to unstable dynamics and excess volatility. The paper suggests that policy institutions may be well-advised to handle tools like asset price targeting with care since such instruments might add a structural link between asset prices and macroeconomic aggregates. Neither stock prices nor indices are a good indicator to base decisions on.
The level of capital tax gains has high explanatory power regarding the question of what drives economic inequality. On this basis, the authors develop a simple, yet micro-founded portfolio selection model to explain the dynamics of wealth inequality given empirical tax series in the US. The results emphasize that the level and the transition of speed of wealth inequality depend crucially on the degree of capital taxation. The projections predict that – continuing on the present path of capital taxation in the US – the gap between rich and poor is expected to shrink whereas “massive” tax cuts will further increase the degree of wealth concentration.