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Asset-Liability Management bei Komposit- und Lebensversicherern : Besinnung auf die Grundlagen
Friese, Sebastian; Mittendorf, Thomas - 2003
In jüngster Vergangenheit hat die Versicherungswirtschaft einen grundlegenden Wandel durchlaufen. Deregulierung, Globalisierung sowie Substitutionskonkurrenz führten zu einem verschärften Wettbewerb um Marktanteile bei sinkenden Gewinnmargen. Aufgrund dieser neuen Wettbewerbsdynamik und den...
Persistent link: https://www.econbiz.de/10010262915
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Uncertain bequest needs and long-term Insurance contracts
Fei, Wenan; Fluet, Claude; Schlesinger, Harris - 2008
We examine how long-term life insurance contracts can be designed to incorporate uncertain future bequest needs. An individual who buys a life insurance contract early in life is often uncertain about the future financial needs of his or her family, in the event of an untimely death. Ideally,...
Persistent link: https://www.econbiz.de/10010264521
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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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Tax incentives, bequest motives, and the demand for life insurance: Evidence from two natural experiments in Germany
Sauter, Nicolas; Walliser, Jan; Winter, Joachim - 2010
Whole life insurance plays an important role in household saving. However, empirical evidence on its determinants is scarce. This paper studies two natural experiments to identify the effects of tax incentives and bequest motives on life-insurance demand. An unanticipated tax reform in 2000...
Persistent link: https://www.econbiz.de/10010270489
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Die Separierung von Kompakttarifen in der Pensions- und Lebensversicherung
Dreher, Loïc - In: German Risk and Insurance Review (GRIR) 6 (2010) 1, pp. 1-33
Kompakttarife finden nicht nur in der Pensionsversicherung, sondern auch in der (Einzel-) Lebensversicherung Verwendung … Besonderheiten bei der Lebensversicherung und wichtige Aspekte der Bilanzierung vorgestellt. Den Abschluss bildet ein Algorithmus zur …
Persistent link: https://www.econbiz.de/10010311182
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014
The dynamic behaviour of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10011605677
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Debt Maturity without Commitment
Niepelt, Dirk - 2008
I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of …- term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped … interior maturity structure with positive gross positions and a shortening of the maturity structure when debt issuance is high …
Persistent link: https://www.econbiz.de/10011430074
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Systematic risk, debt maturity and the term structure of credit spreads
Chen, Hui; Xu, Yu; Yang, Jun - 2012
We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as … the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity … favour longer debt maturity, as well as a more stable maturity structure over the business cycle. Pro-cyclical debt maturity …
Persistent link: https://www.econbiz.de/10010319636
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010368212