242 research outputs found
Financing the embedded value of life insurance portfolios
No full textIn May 2004 the CFO Forum harmonized the various efforts of reporting the embedded valueof life insurance companies by issuing the European Embedded Value (EEV) Principles.In this working paper a methodology is proposed to derive a maximum lending amountfrom EEV figures without much additional data requirements from the originating insurer. The approach chosen is similar to that of other financing areas, e.g. real estate finance, where first a prudent best estimate valuation is done and later risk deductions are performed in the form of applying loan to value ratios, e.g. 60-80 % of the prudent amount. Here, this prudent value is called bankable embedded value and the loan to value analysis presented leads to the maximum lending amount. The deductions proposed to arrive at a maximum lending amount are based on parameter adjustments and risk allowances for unexpected risks. There is an analogy with insurers for determining their own capital needs. The methodology proposed is based on the stress test approach which increasingly gains popularity with insurance supervisors in Europe. --European embedded value,embedded value,life insurance policies,maximum lending amount,required capital,risk analysis,risk discount rate,value reporting and analysis,value sensitivity analysis
Deutschlandstudie
No full textFaulstich P, Graeßner G, Bade-Becker U, Gorys B. Deutschlandstudie. Hanft, A. ; Knust, M.: Internationale Vergleichsstudie zur Struktur und Organisation der Weiterbildung an Hochschulen. 2007
The Determinants of Economic Growth in European Regions
No full textWe use Bayesian Model Averaging (BMA) to evaluate the robustness of determinants of economic growth in a new dataset of 255 European regions in the 1995-2005 period. We use three different specifications based on (1) the cross-section of regions, (2) the cross-section of regions with country fixed effects and (3) the cross-section of regions with a spatial autoregressive (SAR) structure. We investigate the existence of parameter heterogeneity by allowing for interactions of potential explanatory variables with geographical dummies as extra regressors. We find remarkable differences between the determinants of economic growth implied by differences between regions and those within regions of a given country. In the cross-section of regions, we find evidence for conditional convergence with speed around two percent. The convergence process between countries is dominated by the catching up process of regions in Central and Eastern Europe (CEE), whereas convergence within countries is mostly a characteristic of regions in old EU member states. We also find robust evidence of positive growth of capital cities, a highly educated workforce and a negative effect of population density.model uncertainty, spatial autoregressive model, determinants of economic growth, European regions
Länderstudie Deutschland
No full textFaulstich P, Graeßner G, Bade-Becker U, Gorys B. Länderstudie Deutschland. In: Hanft A, Knust M, eds. Weiterbildung und lebenslanges Lernen in Hochschulen. Eine internationale Vergleichsstudie zu Strukturen, Organisation und Angebotsformen. Münster: Waxmann; 2007: 87-164
On the cost of delayed currency fixing announcements
No full textIn Foreign Exchange Markets vanilla and barrier options are traded frequently. The market standard is a cutoff time of 10:00 a.m. in New York for the strike of vanillas and a knock-out event based on a continuously observed barrier in the inter bank market. However, many clients, particularly from Italy, prefer the cutoff and knock-out event to be based on the fixing published by the European Central Bank on the Reuters Page ECB37. These barrier options are called discretely monitored barrier options. While these options can be priced in several models by various techniques, the ECB source of the fixing causes two problems. First of all, it is not tradable, and secondly it is published with a delay of about 10 - 20 minutes. We examine here the effect of these problems on the hedge of those options and consequently suggest a cost based on the additional uncertainty encountered. --exotic options,currency fixings
A speech understanding and dialog system with a homogeneous linguistic knowledge base
No full textMast M, Kummert F, Ehrlich U, et al. A speech understanding and dialog system with a homogeneous linguistic knowledge base. IEEE transactions on pattern analysis and machine intelligence. 1994;16(2):179-194.This article presents the speech understanding and dialog system EVAR. All levels of linguistic knowledge are used both to control the analysis process and for the interpretation of an utterance. All kinds of knowledge are integrated in a homogeneous knowledge base. The control algorithm used for the analysis is defined within the representation scheme and does not depend on the application. One of the aims of EVAR is to develop a system structure where linguistic and non-linguistic expectations could be used not only for the interpretation but also as predictions for the recognition process
Internationale Cash Flow-Rechnungen aus Eigner- und Gläubigersicht
No full textCash flow statements have gained popularity worldwide and are now mandatory also under German GAAP for listed companies. Based on International Accounting Standard No. 7 we review their analytical value from both a shareholder's and a creditor's point of view. Cash flow patterns do vary from earnings patterns. Income earned is not identical with cash received. Enron and some other spectacular insolvency cases are just examples of this. In the first part of this working paper we present the concept of the cash flow statement and discuss cash flow patterns of firms, cash flow ratios and their usefulness, but also the limitations the analyst should be aware of. In the second part we analyse the relevance of cash flow statements for banking institutions. Banks also have to present them in their annual accounts, but interestingly both investment and credit analysts make little use of them. We explore the peculiarities of the business model of banking, its impact on cash flow as well as the information needed for analysing the strategic liquidity of a bank. Based on our findings, we do not recommend investment and credit analysts to change their opinion on the usefulness of cash flow statements for banks
Of toothy grins and angry snarls—Open mouth displays contribute to efficiency gains in search for emotional faces
No full textHorstmann G, Lipp OV, Becker SI. Of toothy grins and angry snarls—Open mouth displays contribute to efficiency gains in search for emotional faces. Journal of Vision. 2012;12(5):7.The emotional face-in-a-crowd effect is widely cited, but its origin remains controversial, particularly with photorealistic stimuli. Recently, it has been suggested that one factor underlying the guidance of attention by a photorealistic emotional face in visual search might be the visibility of teeth, a hypothesis, however, that has not been studied systematically to date. The present experiments manipulate the visibility of teeth experimentally and orthogonally to facial emotion. Results suggest that much of the face-in-a-crowd effect with photorealistic emotional faces is due to visible teeth, and that the visibility of teeth can create a search advantage for either a happy or an angry target face when teeth visibility and facial emotion are confounded. Further analyses clarify that the teeth visibility primarily affects the speed with which neutral crowds are scanned, shedding new light on the mechanism that evokes differences in search efficiency for different emotional expressions
Cu, Fe, and Zn isotope ratios in murine Alzheimer's disease models suggest specific signatures of amyloidogenesis and tauopathy
No full textAcknowledgments—A.H.E-K thanks Maren Koenig and Dorit Becker for their support in sample preparation. The authors thank Prof. Gernot Riedel, Dr Silke Frahm, and Mandy Magbagbeolu for help with mouse perfusion and harvesting of the brain tissues. Funding and additional information—This work was carried out in the context of the EMPIR research project 15HLT02 (ReMiND). This project has received funding from the EMPIR programme cofinanced by the Participating States and from the European Union’s Horizon 2020 research and innovation program.Peer reviewe
Interest rate convexity and the volatility smile
No full textWhen pricing the convexity effect in irregular interest rate derivatives such as, e.g., Libor-in-arrears or CMS, one often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the problem of convexity by replicating the irregular interest flow or option with liquidly traded options with different strikes thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the problem on a more general scale and apply the result to various examples. --interest rate options,volatility smile,convexity,,option replication
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