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Working Papers Risk and Assurance

Universität Hamburg

Hamburger Zentrum für Versicherungswirtschaft

No. 25 Alexander Ellert, Oliver Urmann, Competition in the Market for Supplementary Health Insurance: The Case of Competing Nonprofit Sickness Funds, January 2012. Abstract
No. 24 Martin Nell, Stephan Rosenbrock, Ein Risikoausgleichsmodell für den Wettbewerb um Bestandskunden in der PKV, May 2008. Abstract
No. 23 Philipp Pohl, Einfluss der Balanced-Scorecard-Werteparameter auf den Unternehmenswert in einem Regressionsmodell am Beispiel der Versicherungsbranche, February 2008. Abstract
No. 22 Annette Hofmann, Martin Nell,  The Impact of Intermediary Remuneration in Differentiated Insurance Markets, February 2008. Abstract
No. 21 Berhard Hirsch, Martin Nell,  Anreizkompatibilität von Entschädigungssystemen für Kosten und Verluste aus Tierseuchenausbrüchen in der Europäischen Union, Juni 2007. Abstract
No. 20 Annette Hofmann, Martin Nell, Philipp Pohl, The Optimal Pricing Strategy for an Insurer when Risk Preferences are Stochastically Distributed, March 2007. Abstract
No. 19 Martin Nell, Stephan Rosenbrock, Wettbewerb in kapitalgedeckten Krankenversicherungssystemen: Ein konsistenter Ansatz zur Übertragung von individuellen Alterungsrückstellungen in der Privaten Krankenversicherung, Februar 2007. Abstract
No. 18 Martin Nell, Stephan Rosenbrock, Das Inflationsproblem bei der Übertragung von individuellen Alterungsrückstellungen in der privaten Krankenversicherung, erscheint in: Zeitschrift für die gesamte Versicherungswissenschaft, 96 (1), März 2007. Abstract
No. 17 Uwe Focht, Andreas Richter, Jörg Schiller, Intermediation, Compensation and Tacit Collusion in Insurance Markets, März 2006. Abstract
No. 16 Annette Hofmann, Internalizing Externalities of Loss-Prevention through Insurance Monopoly: An Analysis of Interdependent Risks, November 2005, erschienen in: Geneva Risk and Insurance Review, 32 (2007), 91 – 111. Abstract
No. 15 Martin Nell, Philipp Pohl, Wertorientierte Steuerung von Lebensversicherungsunternehmen mittels stochastischer Prozesse, November 2005, erschienen in: Zeitschrift für die gesamte Versicherungswissenschaft, 3 (2006), 533 – 558. Abstract
No. 14 Martin Nell, Andreas Richter, Jörg Schiller, When prices hardly matter: Incomplete insurance contracts and markets for repair goods, January 2005.  
No. 13 Jörg Schiller, Versicherungsbetrug als ökonomisches Problem: Eine vertragstheoretische Analyse, July 2004, erschienen in: Zeitschrift für die gesamte Versicherungswissenschaft, 93 (2004), 835 – 851. Abstract
No. 12 Martin Nell, Andreas Richter, Catastrophic Events as Threats to Society: Private and Public Risk Management Strategies, January 2004, erschienen in: Frenkel, M., Hommel, U., Rudolf, M. (eds.): Risk Management: Challenge and Opportunity, 2nd ed., Springer Verlag, Berlin (2005). Abstract
No. 11 M. Martin Boyer, Jörg Schiller, Merging Automobile Regulatory Bodies: The Case of Atlantic Canada, November 2003, erschienen in: Assurances et Gestion des Risques 72 (2004): 57 – 89. Abstract
No. 10 Martin Nell, Andreas Richter, Improving Risk Allocation Through Cat Bonds, November 2002 erschienen in: The Geneva Papers on Risk and Insurance 29 (2004): 183 – 201. Abstract
No. 9 Klaus Bender, Andreas Richter, Optimales Vertragsdesign bei moralischem Risiko in der Rückversicherung, October 2002, erschienen in: Zeitschrift für die gesamte Versicherungswissenschaft, 92 (2003): 483 – 506. Abstract
No. 8 Jörg Schiller, The Impact of Insurance Fraud Detection Systems, October 2002, erschienen in: Journal of Risk and Insurance, 73 (2006). Abstract
No. 7 Martin Nell, Jörg Schiller, Erklärungsansätze für vertragswidriges Verhalten von Versicherungsnehmern aus Sicht der ökonomischen Theorie, May 2002, erschienen in: Zeitschrift für die gesamte Versicherungswissenschaft, 91 (2002), 533 – 556. Abstract
No. 6 Walter Karten, Ökonomische Aspekte einer EU-Richtlinie zur Versicherungsvermittlung, January 2002, erschienen in: Zeitschrift für die gesamte Versicherungswissenschaft, 91 (2002), 43 – 60.  
No. 5 Andreas Richter, Jochen Ruß, Tax Arbitrage in the German Insurance Market, December 2001, erschienen in: Blätter der Deutschen Gesellschaft für Versicherungsmathematik, 25 (2002), 659 – 672. Abstract
No. 4 Martin Nell, Staatshaftung für Terrorrisiken?, December 2001, erschienen in: ifo Schnelldienst, 54 (2001), Heft 24, 6 – 9.  
No. 3 Andreas Richter, Moderne Finanzinstrumente im Rahmen des Katastrophen-Risk-Managements - Basisrisiko versus Ausfallrisiko, September 2001, erschienen in: Zeitschrift für betriebswirtschaftliche Forschung 56 (2004): 99 – 121. Abstract
No. 2 Martin Nell, Managed Claims: Zur Notwendigkeit einer vertikalen Integration von Versicherungs- und Reparaturleistungen, August 2001, erschienen in: Zeitschrift für betriebswirtschaftliche Forschung, 53 (2001), 47. Sonderheft, 207 – 231. Abstract
No. 1 Martin Nell, Andreas Richter, The Design of Liability Rules for Highly Risky Activities – Is Strict Liability the Better Solution?, June 2001, erschienen in: International Review of Law & Economics, 23 (2003), 31 – 47. Abstract

 

 

Working Paper Institut für Versicherungswirtschaft Universität St. Gallen

Working Paper Series on Risk Management and Insurance

Editor: Professor Dr. Hato Schmeiser

No. 118 
The Pricing of Hedging Longevity Risk with the Help of Annuity Securitzation: An Application to the German Market
Jonas Lorson, Joël Wagner
Version: 2012-10-22

No. 117 
The Impact of Life Insurance Securitization on the Issuer's Default Risk
Jonas Lorson
Version: 2012-10-22

No. 116
Pricing in the Primary Market for Cat Bonds: New Empirical Evidence
Alexander Braun
Version: 2012-08-23

No. 115
Evaluation of Benefits and Costs of Insurance Regulation - A Conceptual Model for Solvency II
Jonas Lorson, Hato Schmeiser, Joël Wagner
Version: 2012-09-27

No. 114
New Solvency Regulation: What CEOs of Insurance Companies Think
Markus Kreutzer, Joël Wagner
Version: 2012-06-15

No. 113
What Drives Insurers' Demand for Cat Bond Investments? Evidence from a Pan-European Survey
Alexander Braun, Katja Müller, Hato Schmeiser
Version: 2012-06-01

No. 112 
Unisex Insurance Pricing: Consumers’ Perception and Market Implications
Hato Schmeiser, Tina Störmer, Joël Wagner
Version: 2012-06-01

No. 111
The Influence of Interest Rate Guarantees and Solvency Requirements on the Asset Allocation of Life Insurance Companies
Hato Schmeiser, Joël Wagner
Version: 2012-06-01

No. 110
Solvency Assessment for Insurance Groups in the United States and Europe - A Comparison of Regulatory Frameworks
Caroline Siegel
Version: 2012-02-03

No. 109
Understanding CEO's Short-term Orientation: A Processual Framework on Megatrends
Christine Scheef, Tobias Schlager
Version: 2012-01-15

No. 108
How to Segment Developing Countries: An International Investigation
Tobias Schlager, Peter Maas
Version: 2012-01-15

No. 107
Determining Consumer Choice regarding Interaction Points - A Process oriented Approach
Tobias Schlager
Version: 2011-10-20

No. 106, in: World Development
Pricing in Microinsurance Markets
Christian Biener
Version: 2011-11-15

No. 105
New Life Insurance Financial Products
Nadine Gatzert, Hato Schmeiser
Version: 2012-10-12

No. 104, in: The Journal of RIsk Finance
Market Consistent Embedded Value in Non-Life Insurance: How to Measure It and Why
Martin Eling, Dorothea Diers, Christian Kraus, Andreas Reuß
Version: 2011-10-30

No. 103
Corporate Governance and Risk Taking: Evidence from European Insurance Markets
Martin Eling, Sebastian Marek
Version: 2011-10-30

No. 102, in: International Journal of Banking, Accounting and Finance
Internal and External Drivers for Risk Taking in U.K. and German Insurance Markets
Martin Eling, Sebastian Marek
Version: 2011-10-30

No. 101, in: Risk Management and Insurance Review
What Do We Know About Market Discipline in Insurance?
Martin Eling
Version: 2011-10-30

No. 100
Do Underwriting Cycles Matter? An Analysis Based on Dynamic Financial Analysis
Martin Eling, Sebastian Marek
Version: 2011-10-30

No. 99, in: Insurance: Mathematics and Economics
Dependence Modelling in Non-Life Insurance Using the Bernstein Copula
Martin Eling, Dorothea Diers, Sebastian Marek
Version: 2011-10-30

No. 98, in: Insurance: Mathematics and Economics
Fitting Insurance Claims to Skewed Distributions: Are Skew-Normal and Skew-Student Good Models?
Martin Eling
Version: 2011-10-30

No. 97, in: European Journal of Operational Research
Organization and Efficiency in the International Insurance Industry: A Cross-frontier Analysis
Martin Eling, Christian Biener
Version: 2011-10-30

No. 96
The Multi-Year Non-Life Insurance Risk
Martin Eling, Dorothea Diers, Marc Linde, Christian Kraus
Version: 2011-10-30

No. 95
What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market
Martin Eling, Dieter Kiesenbauer
Version: 2011-10-30

No. 94
An Efficiency Comparison of the Non-life Insurance Industry in the BRIC Countries
Martin Eling, Wei Huang 
Version: 2011-10-30

No. 93 in: Journal of Banking and FInance
A Decision-Theoretic Foundation for Two-Parameter Performance Measures
Martin Eling, Frank Schuhmacher
Version: 2011-10-30

No. 92
Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies
Katja Müller, Hato Schmeiser, Joël Wagner
Version: 2011-09-11

No. 91
The Impact of Private Equity on a Life Insurer's Capital Charges under Solvency II and the Swiss Solvency Test
Alexander Braun, Caroline Siegel, Hato Schmeiser
Version: 2012-02-13

No. 90 
To Buy or not to Buy Insurance? The Antecedents in the Decision-Making Process and the Influence of Consumer Attitudes and Perceptions
Carin Huber, Tobias Schlager
Version: 2011-09-06

No. 89
The Effects of Ratings on Financial Decision-Making
Carin Huber
Version: 2011-09-06

No. 88, in: Risk Management and Insurance Review
Comparison of Stakeholder Perspectives on current Regulatory and Reporting Reforms
Joël Wagner, Alexandra Zemp
Version: 2011-05-05

No. 87
Stock vs. Mutual Insurers: Who Does and Who Should Charge More?
Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser
Version: 2011-03-24

No. 86
Model Uncertainty and its Impact on Solvency Measurement in Property-Liability Insurance
Hato Schmeiser, Caroline Siegel, Joël Wagner
Version: 2011-02-10

No. 85
A Proposal for a Capital Market-Based Guaranty Scheme for the Financial Industry
Hato Schmeiser, Joël Wagner, Alexandra Zemp
Version: 2011-01-24 

No. 84, in: The Future of Insurance Regulation and Supervision
Insurance Guaranty Funds and Their Relation to Solvency Regulation
Przemyslaw Rymaszewski, Hato Schmeiser
Version: 2010-11-15

No. 83, in: Insurance: Mathematics and Economics
Risk Comparison of Different Bonus Distribution Approaches in Participating Life Insurance
Alexandra Zemp
Version: 2010-10-15 

No. 82
How Do Price Presentation Effects Influence Consumer Choice? The Case of Life Insurance Products
Nadine Gatzert, Carin Huber, Hato Schmeiser
Version: 2011-04-01 

No. 81, in: The Journal of Risk Finance
The Merits of Pooling Claims Revisitied 
Nadine Gatzert, Hato Schmeiser
Version: 2011-07-10

No. 80, in: The Journal of Risk and Insurance 
The Impact of Introducing Insurance Guaranty Schemes on Pricing and Capital Structures
Hato Schmeiser, Joël Wagner
Version: 2010-09-27

No. 79
Regulating Insurance Groups: A Comparison of Risk-Based Solvency Models
Hato Schmeiser, Caroline Siegel
Version: 2011-03-03

No. 78, in: Insurance: Mathematics and Economics
Pricing Catastrophe Swaps: A Contingent Claims Approach
Alexander Braun
Version: 2011-01-17 

No. 77, in: Insurance: Mathematics and Economics
A Joint Valuation of Premium Payment and Surrender Options in Particpating Life Insurance Contracts
Hato Schmeiser, Joël Wagner
Version: 2010-03-15

No. 76
A Benchmark Analysis of Participating Life Insurance Contracts
Roger Faust, Hato Schmeiser, Alexandra Zemp
Version: 2010-06-01

No. 75, in: The Journal of Risk and Insurance
Under What Conditions is an Insurance Guaranty Fund Beneficial for Policyholders?
Przemyslaw Rymaszewski, Hato Schmeiser, Joël Wagner
Version: 2010-05-06 

No. 74, in: Geneva Papers on Risk and Insurance
A Traffic Light Approach to Solvency Measurement of Swiss Occupational Pension Funds
Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser
Version: 2010-02-15

No. 73, in: The Journal of Risk and Insurance
Performance and Risks of Open-End Life Settlement Funds
Alexander Braun, Nadine Gatzert, Hato Schmeiser
Version: 2009-12-01

No. 72, in: Journal of Banking & Finance
Efficiency in the International Insurance Industry: A Cross-Country Comparison
Martin Eling, Michael Luhnen
Version: 2009-11-01

No. 71, in: Journal of Risk Finance
What Drives the Demand for Industry Loss Warranties?
Nadine Gatzert, Hato Schmeiser
Version: 2009-11-30 

No. 70, in: Geneva Papers on Risk and Insurance
Insurance and the Credit Crisis: Impact and Ten Consequences for Risk Management and Supervision
Martin Eling, Hato Schmeiser
Version: 2009-07-01

No. 69, in: Geneva Papers on Risk and Insurance
On the Valuation of Investment Guarantees in Unit-Linked Life Insurance: A Behavioral Perspective
Nadine Gatzert, Carin Huber, Hato Schmeiser
Version: 2010-05-01

No. 68
The Influence of Corporate Risk, Debt, and Diversification on Shareholder Value
Roger Faust
Version: 2009-07-01 

No. 67, in: Journal of Banking & Finance
The Performance of Hedge Funds and Mutual Funds in Emerging Markets
Martin Eling, Roger Faust
Version: 2010-01-20

No. 66, in: Risk Management & Insurance Review
The Secondary Market for Life Insurance in the U.K., Germany, and the U.S.: Comparison and Overview
Nadine Gatzert
Version: 2009-01-15

No. 65
Optimal Risk Classification and Underwriting Risk for Substandard Annuities
Nadine Gatzert, Gudrun Hoermann, Hato Schmeiser
Version: 2009-03-15

No. 64, in: The Journal of Risk and Insurance
Creating Customer Value in Participating Life Insurance Contracts
Nadine Gatzert, Ines Holzmueller, Hato Schmeiser
Version: 2009-01-01

No. 63, in: Geneva Papers on Risk and Insurance
Determinants of Efficiency and Productivity in German Property-Liability Insurance: Evidence for 1995-2006
Michael Luhnen
Version: 2008-12-01

No. 62
Underwriting Cycles in German Property-Liability Insurance
Martin Eling, Michael Luhnen
Version: 2008-12-01 

No. 61, in: The Journal of Risk and Insurance
Understanding the Death Benefit Switch Option in Universal Life Policies
Nadine Gatzert, Gudrun Hoermann
Version: 2008-09-30 

No. 60, in: Geneva Risk and Insurance Review
Is there Market Discipline in the European Insurance Industry? An Analysis of the German Insurance Market
Martin Eling, Joan T. Schmit
Version: 2008-09-30 

No. 59, in: Geneva Papers on Risk and Insurance
The United States RBC Standards, Solvency II, and the Swiss Solvency Test: A Comparative Assessment
Ines Holzmüller
Version: 2008-09-30 

No. 58, in: Zeitschrift für die gesamte Versicherungswissenschaft
Understanding Price Competition in German Motor Insurance
Martin Eling, Michael Luhnen
Version: 2008-07-31 

No. 57, in: Journal of Insurance Regulation
An Overview and Comparison of Risk-Based Capital Standards
Martin Eling, Ines Holzmüller
Version: 2008-06-15 

No. 56, in: Geneva Papers on Risk and Insurance
Frontier Efficiency Methodologies to Measure Performance in the Insurance Industry
Martin Eling, Michael Luhnen
Version: 2008-08-31 

No. 55
A Discussion of the Risk Assessment Methods for the German Automobile Insurance Industry
Thomas Parnitzke
Version: 2008-04-11 

No. 54, in: Journal of Risk and Insurance
The Impact of the Secondary Market on Life Insurers' Surrender Profits
Nadine Gatzert, Gudrun Hoermann, Hato Schmeiser
Version: 2008-05-01 

No. 53, in: Geneva Papers on Risk and Insurance
The Swiss Solvency Test and its Market Implications
Martin Eling, Nadine Gatzert, Hato Schmeiser
Version: 2008-02-29 

No. 52, in: Journal für Betriebswirtschaft
Customer Value from a Customer Perspective: A Comprehensive Review
Albert Graf, Peter Maas
Version: 2008-02-29 

No. 51, in: Insurance: Mathematics and Economics
Enhanced Annuities and the Impact of Individual Underwriting on an Insurer’s Profit Situation
Gudrun Hoermann, Jochen Russ
Version: 2008-01-10 

No. 50, in: Financial Markets and Portfolio Management (forthcoming)
On the Risk Situation of Financial Conglomerates: Does Diversification Matter?
Nadine Gatzert, Hato Schmeiser
Version: 2008-12-15 

No. 49, in: Financial Analysts Journal
Performance Measurement in the Investment Industry
Martin Eling
Version: 2008-01-10 

No. 48, in: Insurance: Mathematics and Economics
Minimum Standards for Investment Performance: A New Perspective on Non-Life Insurer Solvency
Martin Eling, Nadine Gatzert, Hato Schmeiser
Version: 2008-09-30 

No. 47, in: Kredit und Kapital
Wo investieren Distressed-Securities-Hedgefonds? Ein Asset-Based Style-Faktorenmodell
Georgi Bontschev, Martin Eling
Version: 2008-09-15 

No. 46, in: Journal of Banking & Finance
Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies
Nadine Gatzert, Hato Schmeiser
Version: 2007-08-16 

No. 45, in: Zeitschrift für die gesamte Versicherungswissenschaft
Auswirkungen von Enhanced Annuities auf den Bestand eines Versicherers
Gudrun Hoermann, Jochen Russ
Version: 2007-08-22 

No. 44
The Impact of Solvency II on Insurance Market Competition - An Economic Assessment
Stefan Schuckmann
Version: 2007-08-03 

No. 43, in: Zeitschrift für die gesamte Versicherungswissenschaft  
An Analysis of Pricing and Basis Risk for Industry Loss Warranties
Nadine Gatzert, Hato Schmeiser, Denis Toplek
Version: 2007-06-01 

No. 42, in: Zeitschrift für die gesamte Versicherungswissenschaft
Zur Integration heuristischer Managementstrategien in die Dynamische Finanzanalyse
Martin Eling, Thomas Parnitzke, Hato Schmeiser
Version: 2007-10-01 

No. 41
Deferred Annuity Contracts under Stochastic Mortality and Interest Rates: Pricing and Model Risk Assessment
Denis Toplek
Version: 2007-05-18 

No. 40, in: The Journal of Risk
Pricing and Performance of Mutual Funds: Lookback versus Interest Rate Gurantees
Nadine Gatzert, Hato Schmeiser
Version: 2008-04-30 

No. 39, in: Solvency II Handbook, London, hrsg. von M. Cruz
Risk Assessment of Life Insurance Contracts: A Comparative Study in a Lévy Framework
Nadine Gatzert, Stefan Kassberger
Version: 2007-10-08 

No. 38, in: Finanz Betrieb
Der Swiss Solvency Test: Ein Vorbild für Solvency II?
Martin Eling
Version: 2007-03-13 

No. 37, in: European Financial Management
Does Hedge Fund Performance Persist? Overview and New Empirical Evidence
Martin Eling
Version: 2008-08-01 

No. 36, in: Journal of Financial Services Marketing
Customer Value Analysis in Financial Services
Peter Maas, Albert Graf
Version: 2007-02-01 

No. 35, in: Financial Markets and Portfolio Management
Enterprise Risk Management in Financial Groups: Analysis of Risk Concentration and Default Risk
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
Version: 2007-09-10 

No. 34, in: Journal of Risk and Insurance
Modeling and Management of Nonlinear Dependencies - Copulas in Dynamic Financial Analysis
Martin Eling, Denis Toplek
Version: 2009-08-01 

No. 33, in: Zeitschrift für die gesamte Versicherungswissenschaft
Implicit Options in Life Insurance: An Overview
Nadine Gatzert
Version: 2009-01-15 

No. 32, in: Finanz Betrieb
Wo sind die Grenzen des Marktwachstums von Hedgefonds?
Martin Eling
Version: 2006-10-11 

No. 31, in: Zeitschrift für die gesamte Versicherungswissenschaft
Das Shareholder-Value-Prinzip im Spannungsfeld von Theorie und Praxis
Hato Schmeiser
Version: 2006-09-11 

No. 30, in: Variance
Management Strategies and Dynamic Financial Analysis
Martin Eling, Thomas Parnitzke, Hato Schmeiser
Version: 2007-08-15 

No. 29, in: Journal of Banking & Finance
Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Martin Eling, Frank Schuhmacher
Version: 2006-09-07 

No. 28, in: Insurance: Mathematics and Economics
Asset Management and Surplus Distribution Strategies in Life Insurance: An Examination with Respect to Risk Pricing and Risk Measurement
Nadine Gatzert
Version: 2007-09-30 

No. 27, in: Risk Management & Insurance Review
How Insurance Brokers Create Value - a Functional Approach
Peter Maas
Version: 2006-07-30 

No. 26, in: Zeitschrift für die gesamte Versicherungswissenschaft
Implicit Options in Life Insurance: Valuation and Risk Management
Nadine Gatzert, Hato Schmeiser
Version: 2006-09-13 

No. 25, in: Financial Markets and Portfolio Management
Performance Measurement of Hedge Funds Using Data Envelopment Analysis
Martin Eling
Version: 2006-11-30 

No. 24, in: Insurance: Mathematics and Economics
The Influence of Corporate Taxes on Pricing and Capital Structure in Property-Liability Insurance
Nadine Gatzert, Hato Schmeiser
Version: 2006-12-28 

No. 23, in: Zeitschrift für das gesamte Kreditwesen
Der Markt für Hedgefonds in Deutschland - Erfahrungen zwei Jahre nach Einführung des Investmentmodernisierungsgesetzes
Martin Eling
Version: 2006-06-06 

No. 22, in: Journal of Risk and Insurance
Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts
Nadine Gatzert, Hato Schmeiser
Version: 2006-12-01 

No. 21, in: Zeitschrift für die gesamte Versicherungswissenschaft
Das deutsche und schweizer Krankenversicherungssystem: Kosten, Leistungen und Anreizwirkungen aus Sicht der Versicherten
Martin Eling, Thomas Parnitzke
Version: 2006-04-05 

No. 20, in: Risk Management & Insurance Review
The Solvency II Process: Overview and Critical Analysis
Martin Eling, Hato Schmeiser, Joan T. Schmit
Version: 2005-12-08 

No. 19, in: Finanz Betrieb
Eine Analyse der Zeit- und Marktphasenstabilität von Hedgefonds-Renditen
Martin Eling
Version: 2005-12-12 

No. 18, in: Journal of Risk and Insurance
Analysis of Participating Life Insurance Contracts: A Unification Approach
Nadine Gatzert, Alexander Kling
Version: 2006-12-01 

No. 17, in: Financial Markets and Portfolio Management
Portfolio Management and Retirement: What is the Best Arragement for a Family?
Thomas Post, Helmut Gründl, Hato Schmeiser
Version: 2006-05-30 

No. 16, in: Risk Management & Insurance Review
Dynamic Financial Analysis: Classification, Conception, and Implementation
Martin Eling, Thomas Parnitzke
Version: 2005-12-08 

No. 15, in: International Journal of Service Industry Management
Changing Roles of Customers: Consequences for HRM
Albert Graf
Version: 2007-04-011 

No. 14, in: Zeitschrift für die gesamte Versicherungswissenschaft
Kapitalanlagepolitik und -performance der deutschen Lebensversicherer im Spannungsfeld von Buch- und Zeitwerten
Martin Eling
Version: 2006-03-01 

No. 13, in: BankArchiv (ÖBA)
Hedgefonds-Strategien - Systematisierung und Überblick
Martin Eling
Version: 2006-05-11 

No. 12, in: BankArchiv (ÖBA)
Finanzwirtschaftliche Garantien bei Investmentfondsprodukten und ihre bilanzielle Abbildung gemäss IFRS
Martin Eling, Hato Schmeiser
Version: 2007-05-11 

No. 11, in: Handbuch Solvency II, hrsg. von H. Gründl und H. Perlet, Berlin 2005
Interne Risikosteuerungsmodelle aus wissenschaftlicher Sicht
Anna Osetrova, Hato Schmeiser
Version: 2005-10-01 

No. 10, in: Kredit und Kapital
Hat die Wahl des Performancemasses einen Einfluss auf die Beurteilung von Hedgefonds-Indizes?
Martin Eling, Frank Schuhmacher
Version: 2005-10-01 

No. 9, in: Zeitschrift für Controlling und Management
Ist die Steuerung von Finanzdienstleistungsunternehmen durch Kapitalallokation sinnvoll?
Helmut Gründl, Hato Schmeiser
Version: 2006-12-01 

No. 8, in: Derivative Use, Trading & Regulation
Autocorrelation, Bias, and Fat Tails - Are Hedge Funds Really Attractive Investments?
Martin Eling
Version: 2005-10-27 

No. 7, in: Geneva Risk and Insurance Review
Analysis of Embedded Options in Individual Pension Schemes in Germany
Alexander Kling, Jochen Russ, Hato Schmeiser
Version: 2005-11-01 

No. 6, in: Die Betriebswirtschaft
Asset Liability Management in Finanzdienstleistungsunternehmen
Martin Eling, Thomas Parnitzke
Version: 2005-04-11 

No. 5, in: Regulierung von Versicherungen: Solvency II und Vermittlerrichtlinie -
Zweiter Nürnberger Versicherungstag 2004, hrsg. von A. Wambach und H. Herrmann
Interne Risikosteuerungsmodelle unter Solvency II
Hato Schmeiser
Version: 2005-04-11 

No. 4
Credit Scoring and the Sample Selection Bias
Thomas Parnitzke
Version: 2005-04-11 

No. 3, in: Journal of Risk and Insurance
Capital Allocation for Insurance Companies - What Good is it?
Helmut Gründl, Hato Schmeiser
Version: 2005-12-10 

No. 2, in: Financial Markets and Portfolio Management
The Parent Company Puzzle on the German Stock Market
Martin Eling, Frank Schuhmacher
Version: 2005-04-11 

No. 1, in: Risk Management & Insurance Review
Life Annuity Insurance versus Self-Annuitization: An Analysis from the Perspective of the Family
Hato Schmeiser, Thomas Post
Version: 2005-04-11

 

 

 

The Office of Financial Research Working Paper Series offers staff and their co-authors an opportunity to disseminate their preliminary research findings in a format intended to generate discussion and critical comments. The goal is to inform and improve the quality of the analysis conducted by the OFR. The working papers are considered works in progress and are subject to revision. The views and opinions expressed in the working papers are those of the authors and do not necessarily represent official OFR positions or policy.

OFR Working Paper Series Continues with Forging Best Practices in Risk Management (3/26/2012)
Mark J. Flannery, Paul Glasserman, David K.A. Mordecai, Cliff Rossi

A Survey of Systemic Risk Analytics (1/10/2012)
Dimitrios Bisias, Mark Flood, Andrew W. Lo, Stavros Valavanis

 

 

 

Working Papers Global FinancialMarkets

Universitaet Jena Universitaet Halle

Manasa Gopal and Markus Pasche

·         35 / 8-2012
 Market Discipline Under a Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate
Matthias Bauer and Martin Zenker

 

 

OECD Working Papers

  N° 30   07 Dec 2012 ·         PDF

The Effect of Solvency Regulations and Accounting Standards on Long-Term Investing
Clara Severinson, Juan Yermo

This report reviews recent as well as planned changes to accounting and solvency regulations affecting insurers and pension funds and how they may impact long-term investing by these institutions. The review of existing evidence focuses mainly on the impact of risk-based solvency requirements,...

  N° 29   07 Dec 2012 ·         PDF

Trends in Large Pension Fund Investment in Infrastructure
Raffaele Della Croce

Favourable conditions such as the growth of pension fund assets, privatisation trends and changing regulations have increased the interest of institutional investors in infrastructure investment. However, data on pension fund investment in infrastructure is limited. National statistical...

  N° 28   18 Oct 2012 ·         PDF

Communicating Pension Risk to DC Plan Members
Pablo Antolin, Olga Fuentes

The purpose of this paper is to discuss a few issues related to how best to communicate uncertainty about projections of future pension benefits to members of DC plans, and especially to present a pension risk simulator developed by the Chilean regulator (Superintendencia de Pensiones, SP) that...

  N° 27   19 Oct 2012 ·         PDF

The Role of Funded Pensions in Retirement Income Systems
Juan Yermo

This paper reviews the recent development of the funded pension system in the Russian Federation and considers it role in the context of the overall retirement income system. By describing current OECD practices and policy recommendations and comparing them with the current Russian pension...

  N° 26   03 Dec 2012 ·         PDF

Infrastructure Investment in New Markets
Fiona Stewart, Juan Yermo

This report reviews the existing evidence on pension fund investment in infrastructure in "new" markets, covering a number of non-OECD countries, such as Brazil, China, India, Indonesia and South Africa, as well as some OECD countries like Chile and Mexico. In the African, Asian, and Latin...

  N° 25   01 July 2012 ·         PDF

The Status of Financial Education in Africa
Flore-Anne Messy, Chiara Monticone

While the African situation displays disparities both within and between countries in terms of economic and human development, on average, many African countries have relatively low school enrolment ratios, highly informal labour markets, high poverty rates, as well as low financial inclusion...

  N° 24   01 Sep 2012 ·         PDF

Defining and Measuring Green Investments
Georg Inderst, Christopher Kaminker, Fiona Stewart

This definitional, stocktaking paper aims to provide a comprehensive review of the concepts and definitions related to "green" investments that are currently used in the market place. The purpose of this research is not to take a position on a specific definition but rather to explore what is...

  N° 23   24 Sep 2012 ·         PDF

The Role of Institutional Investors in Financing Clean Energy
Christopher Kaminker, Fiona Stewart

Decarbonising the world?s energy system, moving towards a resource efficient economy and providing energy access for all will require doubling existing investment levels to around USD 2 trillion a year or 2% of GDP. Governments understand that large sums of capital will be required, and many...

  N° 22   01 July 2012 ·         PDF

Financial Education, Savings and Investments
Sue Lewis, Flore-Anne Messy

Savings and investments by individuals are important both for personal financial well-being and for economic growth. Many governments try to encourage their citizens to save more, or to save more appropriately, by preferring formal institutions to informal saving and by promoting more...

  N° 21   01 July 2012 ·         PDF

Identification and Assessment of Publicly Available Data Sources to Calculate Indicators of Private Pensions
Stéphanie Payet

Considering the growing role of private and funded pension provision and the sensitivity of private pension provision to the economic climate, there is an increasing need of comparable and reliable information on private pension plans in order to better monitor retirement income adequacy and...

  N° 20   01 June 2012 ·         PDF

Coverage of Private Pension Systems
Pablo Antolin, Stéphanie Payet, Juan Yermo

To adapt pension systems to demographic trends, many countries are reducing pay-as-you-go public pension levels and lifting retirement ages. In this context, funded pensions could play a major role to avoid adequacy gaps. Yet, as this paper shows, the coverage of funded private pensions,...

  N° 19   11 June 2012 ·         PDF

Annual DC Pension Statements and the Communications Challenge
Pablo Antolín, Debbie Harrison

This paper examines and evaluates the content and design of the annual pension statement sent to members of funded defined contribution (DC) pension schemes in a selection of OECD and non-OECD countries. The aims of the research are to identify the potential shortcomings in statement planning...

  N° 18   14 May 2012 ·         PDF

Lessons from National Pensions Communication Campaigns
Adele Atkinson, Debbie Harrison, Flore-Anne Messy, Juan Yermo

The present report focuses on the pre-campaign planning, the design, the delivery, and the monitoring and evaluation of National Pension Communication Campaigns in a range of OECD and non-OECD countries. The research identifies barriers to effective communications and highlights models of good...

  N° 17   04 May 2012 ·         PDF

Review of the Swedish National Pension Funds
Clara Severinson, Fiona Stewart

This paper provides a review of the Swedish National Pension Funds based on international good practice and OECD guidelines. The paper focuses mainly on the general size and structure of the funds, the investment framework and the governance of the funds. The internal management of the funds...

  N° 16   20 Apr 2012 ·         PDF

Current Status of National Strategies for Financial Education
Andrea Grifoni, Flore-Anne Messy

In both developing and developed economies, the awareness of the importance of financial education led to the development of an increasing number of tailored national strategies for financial education. These frameworks promote a smoother and more sustainable co-operation between interested...

  N° 15   26 Mar 2012 ·         PDF

Measuring Financial Literacy
Adele Atkinson, Flore-Anne Messy

This paper presents the findings from an OECD International Network on Financial Education pilot study undertaken in 14 countries. The analysis focuses on variations in financial knowledge, behaviour and attitude across countries and within countries by socio-demographics.The results highlight...

  N° 14   01 Mar 2012 ·         PDF

Empowering Women Through Financial Awareness and Education
Angela Hung, Joanne Yoong, Elizabeth Brown

The potential implications of gender differences in financial literacy are far-reaching. This paper describes the findings of a review of the literature on gender differences in financial literacy with the aim to better understand their causes and consequences, as well as possible policy...

  N° 13   01 Sep 2011 ·         PDF

Pension Funds Investment in Infrastructure
Raffaele Della Croce

Pension funds are increasingly looking at infrastructure investment with some investors actively pursuing opportunities in the sector. Different countries are at different stages in the evolution of pension fund investment in infrastructure. A survey of a sample of the most significant actors...

  N° 12   01 Nov 2011 ·         PDF

Designing Optimal Risk Mitigation and Risk Transfer Mechanisms to Improve the Management of Earthquake Risk in Chile
Robert Muir-Wood

The property losses from the Feb 27th 2010 Maule earthquake are assessed as $18.1Bn paid for 38% by insurers, 47% by the Government of Chile and 15% by individuals and businesses. Including $4Bn damage to infrastructure and the costs of lost economic activity the total loss in 2010 values is...

  N° 11   01 Sep 2011 ·         PDF

The Role of Guarantees in Defined Contribution Pensions
Pablo Antolín, Stéphanie Payet, Edward R. Whitehouse, Juan Yermo

This paper examines the role of guarantees in DC pension plans, in particular minimum investment return guarantees during the accumulation phase. The main goal is to assess the cost and benefits of different return guarantees. The report uses a stochastic financial market model where guarantee...

  N° 10   01 Sep 2011 ·         PDF

The Role of Pension Funds in Financing Green Growth Initiatives
Raffaele Della Croce, Christopher Kaminker, Fiona Stewart

It is estimated that transitioning to a low-carbon, and climate resilient economy, and more broadly „greening growth? over the next 20 years to 2030 will require significant investment and consequently private sources of capital on a much larger scale than previously. With their USD 28 trillion...

  N° 9   01 May 2011 ·         PDF

Catastrophe Financing for Governments
Erwann Michel-Kerjan, Ivan Zelenko, Victor Cardenas, Daniel Turgel

With rapidly increasing population and growing catastrophe exposure in their countries, many more government leaders (including Presidents, Prime Ministers and Rulers) are now faced with a strategic question: how best develop a national strategy to hedge against the massive economic burden of...

  N° 8   01 May 2011 ·         PDF

Funding in Public Sector Pension Plans
Eduard Ponds, Clara Severinson, Juan Yermo

Most countries have separate pension plan for public sector employees. The future fiscal burden of these plans can be substantial as the government usually is the largest employer, pension promises in the public sector tend to be relatively generous, and future payments have to be paid out...

  N° 7   01 Feb 2011 ·         PDF

Reform on Pension Fund Governance and Management
Woochan Kim, Fiona Stewart

This paper provides a detailed chronological account of the governance-cum-management reform of National Pension Fund in Korea and analyzes its success factors, drawing lessons for other countries. A review of the current governance structures with the fund versus OECD guidelines and...

  N° 6   01 Dec 2010 ·         PDF

Options to Improve the Governance and Investment of Japan's Government Pension Investment Fund
Fiona Stewart, Juan Yermo

This paper suggests avenues for strengthening the governance and management of the Japanese Government Pension Investment Fund (GPIF), the largest single pool of pension assets in the world. The GPIF earned its name in 2006 as part of a major governance reform that aimed at increasing the...

  N° 5   01 Sep 2010 ·         PDF

The New IAS 19 Exposure Draft
Clara Severinson

At the end of April 2010, the International Accounting Standards Board (IASB) published an exposure draft with proposed changes to International Accounting Standard No. 19 (IAS 19). IAS 19 is the current standard for the financial reporting of company pension obligations that stem from defined...

  N° 4   01 Aug 2010 ·         PDF

The EU Stress Test and Sovereign Debt Exposures
Adrian Blundell-Wignall, Patrick Slovik

This working paper’s quantifications show that most sovereign debt is held on the banking books of banks, whereas the EU stress test considered only their small trading book exposures. It discusses why sovereign debt held in the banking book cannot be ignored by investors and creditors, because...

  N° 3   01 July 2010 ·         PDF

The Impact of the Financial Crisis on Defined Benefit Plans and the Need for Counter-Cyclical Funding Regulations
Juan Yermo, Clara Severinson

Three essential goals of pension plan funding are the long-term viability, stability and security of member benefits. Reform of funding regulations for defined benefit (DB) pension schemes to make them more counter-cyclical in nature can help achieve these goals as well as make DB schemes more...

  N° 2   01 June 2010 ·         PDF

Assessing Default Investment Strategies in Defined Contribution Pension Plans
Pablo Antolín, Stéphanie Payet, Juan Yermo

This paper assesses the relative performance of different investment strategies for different structures of the payout phase. In particular, it looks at whether the specific glide-path of life-cycle investment strategies and the introduction of dynamic features in the design of default...

  N° 1   01 Dec 2009 ·         PDF

Framework for the Development of Financial Literacy Baseline Surveys
Elaine Kempson

There is growing concern, across a wide range of countries, about the levels of financial capability of consumers. A large number of initiatives are therefore being developed to address this issue; and countries are increasingly rolling out national strategies on financial capability. To do...

 

Working Papers Blake LeBaron Brandeis University

  1. A Real Minsky Moment in an Artificial Stock Market, March 2012.
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  2. Heterogeneous Gain Learning and the Dynamics of Asset Prices, June 2010/December 2011 (forthcoming Journal of Economic Behavior and Organization, 2012).
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  3. Wealth Dynamics and a Bias Toward Momentum Trading, December 2010, published, Financial Review Letters, 2012 .
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  4. Heterogeneous Gain Learning and Long Swings in Asset Prices, November 2010 (forthcoming Frydman and Phelps, 2013).
    Download PDF
  5. Active and Passive Learning in Agent-based Financial Markets, June 2010, published, Eastern Economic Journal, 2011.
    Download PDF
  6. Searching for Lost Decaades, June 2010
    Download PDF
  7. Foreign Exchange Reversals in New York Time, September 2008
    Joint with Yan Zhao.
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  8. Robust Properties of Stock Return Tails, September 2008
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  9. Wealth evolution and distorted financial forecasts, December 2007
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  10. Time scales, agents, and empirical finance, May 2006.
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  11. Agent-based Financial Markets: Matching Stylized Facts with Style, Jaunuary 2006.
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  12. Agent-based Computational Finance, March 2005.
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  13. Extreme value theory and fat tails in equity markets, July 2004
    Joint with Ritirupa Samanta
    View abstract or Download PDF
  14. Building the SFI Artificial Stock Market, June 2002.
    View abstract or Download PDF
  15. Calibrating an agent-based financial market to macroeconomic time series, April 2002.
    View abstract or Download PDF
  16. Estimating the feasible economic gains from international portfolio diversification, November 2001.
    View abstract or Download PDF
  17. Volatility Magnification and Persistence in an Agent Based Financial Market, March 2001.
    View abstract or Download PDF
  18. Technical Trading Profitability in Foreign Exchange Markets in the 1990's, July 2000.
    View abstract or Download PDF
  19. Agent Based Financial Markets: A comparison with experimental markets, 1999.
    View abstract or Download PDF
  20. A Dynamic Trading Strategy Approach to Deviations from Uncovered Interest Parity
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  21. An Evolutionary Bootstrap Approach to Neural Network Pruning and Generalization, 1998.
    View abstract or Download PDF
  22. Experiments in Evolutionary Finance, 1994
    View abstract or Download PDF
  23. Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
    View abstract or Download PDF
  24. Persistence of the Dow Jones Index on Rising Volume.
    View abstract or Download PDF