A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and extracts continuously a fixed percentage of remaining liabilities to stakeholders while maintaining a strategic asset allocation. This fixed percentage is proposed as return...

The paper analyzes the scope for the private market for pandemic insurance and discusses the potential role of the financial market and the government. Building on a premise that pandemics are classified as catastrophic risks by the insurance industry, we start by providing a framework that...

We use the transition in January 2016 from the Solvency I regulatory regime, which was heterogenous across countries in the European Union, to the Solvency II regime, which harmonizes insurance regulation across countries, to understand the impact of heterogenous insurance regulation on...

Environmental, Social and Corporate Governance is, as of mid-2021, a hot topic that many firms are grappling with, given an increasing level of investor and consumer focus on the sustainability credentials of their businesses, and what they are doing to improve them. For example, major...

Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life...

Sufficient solvency of a pension insurance company responsible for defined-benefit pensions guarantees that the pensions are paid regardless of turbulence in the financial market. In the Finnish occupational pension system TyEL, the required level of solvency capital (solvency limit) and its...

Homeowners’ insurance provides households financial protection from climate losses. To improve access and affordability, state regulators impose price controls on insurance companies. Using novel data, we construct a new measure of rate setting frictions for individual states and show that...

This study examines the relation of independent directors and their gender diversity, busyness, and experience with risk taking for 112 listed US insurance companies over 2003-2010. Using OLS, system GMM and 3SLS, we find that board independence, females amongst independent directors and busy...

This study examines the relation of incentives and risk taking for 104 listed U.S. insurance companies over 2006-2010. Our results show that independent director compensation is positively related to risk taking as are CEO compensation and institutional ownership. Besides dollar value and...

We consider the issue of optimizing an insurance company's asset allocation in the context of portfolio theory when the firm needs to adhere to the market risk capital requirements of Solvency II. The discussion starts with a brief review of the standard formula and the introduction of a...