1,721,013 research outputs found
Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency
Full text linkMotivated 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 are driven by a GDP-linked variant of the Lee-Carter mortality model. Furthermore, interest rates and stock prices are allowed to react to changes in GDP, which itself is modeled as a stochastic process. Our results show that insolvency probabilities are significantly higher when the reaction of mortality rates to changes in GDP is incorporated.Life insurance, asset-liability management, stochastic mortality, Lee-Carter model, business cycle
Risikoübernahme - sollte der Staat bestimmte Versicherungsgarantien übernehmen?
Full text linkNach den Terrorattacken vom 11. September sehen sich die privaten Erst- und Rückversicherer mit einer völlig veränderten Risikolage konfrontiert, die sie bisher bei ihren Kalkulationen außer Acht ließen. Dr. Michael Wolgast, Gesamtverband der Deutschen Versicherungswirtschaft, schlägt deshalb vor, dass der Staat eine »Art Resthaftung« übernehmen sollte. Diese sollte aber nach Meinung von Prof. Dr. Helmut Gründl und Dr. Hato Schmeiser, Humboldt-Universität Berlin, »nur von befristeter Natur sein« und dürfe, laut Prof. Dr. Martin Nell, Universität Hamburg, »keinesfalls zur Subventionierung von Wirtschaftszweigen eingesetzt werden«. Auch Prof. Ray Rees, Universität München, sieht die Gefahr, dass »staatliche Garantien für Versicherungsschutz Marktversagen eher noch verschlimmern als korrigieren« könnten.Versicherung, Rückversicherung, Risiko, Staat
A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
Full text linkAs a function of strike and time to maturity the implied volatility estimation is a challenging task in nancial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because nancial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between German and Korean stock markets. As proxy for the volatility, factor loadings series derived from a DSFM application on option prices are employed. We examine volatility transmission between the markets under the vector autoregressive (VAR) model framework. Our results show that a shock in the volatility of one market may not translate directly into greater uncertainty in another market and it is unlikely that portfolio investors can benet from diversication among these markets due to cointegration.implied volatility surface, dynamic semiparametric factor model, VAR, cointegration
Gute Gründe für die Konsolidierung der Finanzaufsicht in Europa
No full textHelmut Gründl fordert eine integrierte europäische Finanzaufsichtsbehörd
The benefits of consolidating financial supervision in Europe
No full textHelmut Gründl pleas for a single integrated European Supervisory Authority
Lebensversicherung: Steigende Zinsen können zu Herausforderungen führen
No full textHelmut Gründl: Kurzfristig kann ein starker und schneller Anstieg des Zinsniveaus problematisch sein für Versicherungen
Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area
Full text linkControllability of longer-term interest rates requires that the persistence of their deviations from the central bank's policy rate (i.e. the policy spreads) remains suciently low. This paper applies fractional integration techniques to assess the persistence of policy spreads of euro area money market rates along the yield curve. Independently from anticipated policy rate changes, there is strong evidence for all maturities that policy spreads exhibit long memory. We show that recent changes in the operational framework and the communication strategy of the European Central Bank have significantly decreased the persistence of euro area policy spreads and, thus, have enhanced the central bank's influence on longer-term money market rates.Long memory and fractional integration, controllability and persistence of interest rates, new operational framework of the ECB
The Political Economy of Regulatory Risk
Full text linkI investigate the argument that, in a two–party system with different regulatory objectives, political uncertainty generates regulatory risk. I show that this risk has a fluctuation effect that hurts both parties and an output–expansion effect that benefits one party. Consequently, at least one party dislikes regulatory risk. Moreover, both political parties gain from eliminating regulatory risk when political divergence is small or the winning probability of the regulatory–risk–averse party is not too large. Because of a commitment problem, direct political bargaining is insufficient to eliminate regulatory risk. Politically independent regulatory agencies solve this commitment problem.regulation, regulatory risk, political economy, independent regulatory agency
In Richtung eines integrierten Versicherungsmarktes
No full textJens Gal und Helmut Gründl: Die Zeit für eine einheitliche europäische Versicherungsaufsicht ist noch nicht reif. Die Weichen sind jedoch bereits gestellt
Life insurance: rising interest rates can lead to challenges
No full textHelmut Gründl: In the short term, a strong and rapid increase of interest rates can be problematic for insurance companies
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