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...

Das Preis-Leistungs-Verhältnis herkömmlicher Rentenversicherungen steigt mitder Lebenserwartung des Versicherten. Derartige Produkte sind damit nur für Personen mit relativ hoher Lebenserwartung attraktiv. Der Nachteil für Versichertemit reduzierter Lebenserwartung wird durch steuerliche...

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...

In recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The defining feature of ILW contracts is their dependence on an industry loss index. The use of an index reduces moral hazard and generally results in lower prices compared to...

Annuity contracts transfer the risk of an individual outliving available assets to aninsurance company. Thus, the insurance company has to value and manage longterm risks. Interest rate risk and longevity risk are the two most important risks forannuity providers. In this paper, we develop a...

In this article we identify risk and return profiles of two types of investment guaranteesin unit-linked life insurance products: an interest rate guarantee and a lookbackguarantee. This is done by comparing guarantee costs and performance for thematurity payoff and by testing the investment...

Common features in life insurance contracts are an interest rate guarantee andpolicyholder participation in the returns of insurers’ reference portfolio, which canbe of substantial value. The aim of this paper is to analyze the model risk involvedin pricing and risk assessment that arises from...

This study investigates what creates value for customers and how providers canimprove value for their customers. A comprehensive analytical model with a fourstepapproach is presented and applied in the field of financial services. In a firststep, the main customer value drivers are identified...

In financial groups enterprise risk management is becoming increasingly importantin controlling and managing the different independent legal entities in thegroup. The aim of this paper is to assess and relate risk concentration and joint defaultprobabilities of the group’s legal entities in...

Proper pricing and risk assessment of implicit options in life insurance contractshas gained substantial attention in recent years, which is reflected in a growing literaturein this field. The purpose of this article is to outline the significance of implicitoptions in life insurance. Toward...