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 ofderiving minimum capital requirements—as it is done in solvency regulation—our model provides company-specific minimum standards for...

The aim of this article is to identify fair equity-premium combinations for non-lifeinsurers that satisfy solvency capital requirements imposed by regulatory authorities. In particular, we compare target capital erived using the value at risk concept as planned for Solvency II in the European...

The purpose of this article is a qualitative economic impact assessment of the SolvencyII proposals. In a first step, we elaborate the economic foundations of insurancemarket regulation. Based on three sources of market failure, we derive economicobjectives of regulatory intervention. In our...

Dynamic financial analysis (DFA) models an insurance company’s cash flow inorder to forecast assets, liabilities, and ruin probabilities, as well as full balancesheets for different scenarios. In the last years DFA has become an important toolfor the analysis of an insurance company’s...

Die aktuellen EU-Solvabilitätsvorschriften sind seit ihrer Einführung in den Jahren1973 (Nichtlebensversicherungen) und 1979 (Lebensversicherungsunternehmen)Gegenstand massiver Kritik.1 Ein zentraler Kritikpunkt resultiert aus derTatsache, dass sich die EU-Solvabilitätsregeln lediglich am...

Die Mindesteigenkapitalausstattung von Banken und Versicherungen unterliegteiner weitreichenden gesetzlichen Regulierung.1 Als Begründung für Eingriffedes Staates in die unternehmerische Freiheit wird im Versicherungsbereich häufigauf eine spezielle Gläubigerstellung des Versicherungsnehmers...

Seit einigen Jahren ist im Gefolge von Basel II das Thema Rating in der (wirtschafts-)politischen ebenso wie in der wissenschaftlichen Diskussion. Die Intensität der Auseinandersetzungen variiert dabei zwar im Zeitablauf, aber ganzin den Hintergrund getreten ist die Thematik seit mindestens...

Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has beena substantial amount of research during the last years, this paper aims to give an overview.Initially, defaults and recovery definitions for credits and the differences to bonds are discussed.A survey of...

Rating downgrades are known to make subsequent downgrades more likely. We analyze theimpact of this ‘downward momentum’ on credit portfolio risk. Using S&P ratings from 1996to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitiveto previous...

We examine the dynamics of bank lending to the private sector for countries of theEuro area by applying a Markov switching error correction model. We identify forBelgium, Germany, Ireland and Portugal stable, mean reverting regimes andunstable regimes with no tendency to return to the long term...