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Responsible investments in life insurers' optimal portfolios under solvency constraints
Schlütter, Sebastian; Fianu, Emmanuel Senyo; Gründl, … - 2022
Socially responsible investing (SRI) continues to gain momentum in the financial market space for various reasons, starting with the looming effect of climate change and the drive toward a net-zero economy. Existing SRI approaches have included environmental, social, and governance (ESG)...
Persistent link: https://www.econbiz.de/10013282914
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Responsible investments in life insurers' optimal portfolios under solvency constraints
Schlütter, Sebastian; Fianu, Emmanuel Senyo; Gründl, … - 2022
Socially responsible investing (SRI) continues to gain momentum in the financial market space for various reasons, starting with the looming effect of climate change and the drive toward a net-zero economy. Existing SRI approaches have included environmental, social, and governance (ESG)...
Persistent link: https://www.econbiz.de/10013271267
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Responsible investments in life insurers' optimal portfolios under solvency constraints
Schlütter, Sebastian; Fianu, Emmanuel Senyo; Gründl, … - In: Zeitschrift für die gesamte Versicherungswissenschaft 112 (2023) 1, pp. 53-81
Sozial verantwortliches Investieren (Socially Responsible Investing, SRI) gewinnt an den Finanzmärkten aus verschiedenen Gründen zunehmend an Bedeutung, beispielsweise aufgrund der sich abzeichnenden Auswirkungen des Klimawandels oder des Strebens nach einer Netto-Null-Wirtschaft. Bestehende...
Persistent link: https://www.econbiz.de/10014486955
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Pricing Double-Trigger Reinsurance Contracts: Financial versus Actuarial Approach
Gründl, Helmut; Schmeiser, Hato - 2002
Risk transfer between primary insurance and reinsurance companies today takes place against a backdrop of major changes in international insurance and financial markets. One of these changes is the trend for the two markets to converge. This trend manifests itself in a growing number of product...
Persistent link: https://www.econbiz.de/10005840920
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Risk-Adjusted Performance Measurement and Capital Allocation in Insurance Firms
Gründl, Helmut; Schmeiser, Hato - 2002
This contribution discusses a number of ideas for using a shareholder value approach to the problems of risk-adjusted performance measurement and the issue of capital allocation. We demonstrate that, if shareholder value is to be consistently maximised, then not only the total amount of equity...
Persistent link: https://www.econbiz.de/10005840921
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The effects of a low interest rate environment on life insurers
Berdin, Elia; Gründl, Helmut - Research Center SAFE (Sustainable Architecture for … - 2014
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...
Persistent link: https://www.econbiz.de/10010982091
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The effects of a low interest rate environment on life insurers
Berdin, Elia; Gründl, Helmut - International Center for Insurance Regulation, House of … - 2014
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...
Persistent link: https://www.econbiz.de/10010984328
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Stochastic mortality, macroeconomic risks, and life insurer solvency
Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...
Persistent link: https://www.econbiz.de/10010265671
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The effects of Contingent Convertible (CoCo) bonds on insurers' capital requirements under solvency II
Niedrig, Tobias; Gründl, Helmut - Research Center SAFE (Sustainable Architecture for … - 2015
The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability … largest purchasers of bank bonds in Europe. We develop a stylized model with a direct financial connection between banking and … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10011265982
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The effects of contingent convertible (CoCo) bonds on insurers' capital requirements under Solvency II
Niedrig, Tobias; Gründl, Helmut - International Center for Insurance Regulation, House of … - 2015
The Liikanen Group proposes contingent convertible (CoCo) bonds as a potential mechanism to enhance financial stability … largest purchasers of bank bonds in Europe. We develop a stylized model with a direct financial connection between banking and … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10011265986