We compare cliquet-style interest rate guarantees used in German participating life insurance contracts across different economic environments. These guarantees are proportional to the average market interest rate at contract inception and typically determined as 60 percent of the 10-year...

This paper reviews the extant research on systemic risk in the insurance sector and outlines potential new areas of research in this field. We summarize 30 theoretical and empirical research papers from both academia and practitioner organizations and provide a classification of existing...

Movements in long-term unemployment (LTU) exhibit a substantial cyclical component. I develop a business cycle model featuring labor market frictions and skill loss during unemployment to capture various stylized facts about the cyclical behavior of long-term unemployment. I find that the skill...

Long-term health insurance contracts provide policyholders with the option of lapsing coverage or switching to another tariff within the same insurance company. We empirically analyze policyholder behavior regarding contract commitment in a large dataset of German private health insurance...

We present a new, regression-based methodology for decomposing the risk-adjusted performance of private investors, firms, and mutual funds. Our technique allows for the inclusion of multivariate and continuous subject characteristics in the analysis and it ensures that the statistical results...

We conduct a laboratory experiment to examine under which circumstances a depositor-run at one bank may lead to a depositor-run at another bank. We implement two-person coordination games which capture the essence of the Diamond-Dybvig (1983) bank-run model. Subjects in the roles of followers...

The implementation of MiFID has led to a fragmentation of liquidity in European equity trading. We analyze the long-term effects of MiFID on liquidity with a new sample of Swiss stocks and do not find evidence for a worsening of market quality. In contrast, spread and depth measures indicate a...

We investigate whether investor reactions to the announcement of a new outside director appointment significantly depend on the director’s experience in the appointing firm’s industry. We use a sample of 385 outside directors appointed to the board of S&P 500 companies from 2008 to 2010. Our...

This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from Piazzesi (2005) in an international setting and uses a sample of 125 policy rate decisions of the Fed to...

In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncertainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates and...