Publications des institutions partenaires
The Performance of Microinsurance Programs: A Data Envelopment Analysis
The purpose of this research is to measure the performance of microinsurance programs using data envelopment analysis and to derive implications for the viable provision of microinsurance products. This is a worthwhile exercise given the significant limitations of the existing performance measures used in the microinsurance industry. A single and simple to interpret performance…
Institution partenaire
English / 01/03/2011
On the Valuation of Investment Guarantees in Unit-Linked Life Insurance : A Customer Perspective
Interest rate guarantees in unit-linked life insurance products ensure that at contract maturity, at least a minimum guaranteed amount is paid, even if the mutual fund falls below the guaranteed level. Strongly depending on the riskiness of the underlying mutual fund, these guarantees can be of substantial value. However, while insurer pricing is based on the replication of cash…
Institution partenaire
English / 15/01/2011
Mobile Claims Management : Smartphone Apps in Motor Insurance
As of April 2010, several Swiss motor insurers offer mobile apps that enable customers to submit a loss report. This article discusses the emergence of mobile apps in the insurance industry and the impact of mobile technology on claims management in motor insurance. We also present a demonstrator that goes beyond existing solutions by integrating a mobile app with a commercial claims…
Institution partenaire
English / 01/12/2010
Sharpe Ratio for skew-normal distributions: a skewness-dependent performance trade-off?
Main academic criticism on the Sharpe ratio concerns its lack in incorporating skewness in performance evaluation. In this note we rewrite the classical Sharpe ratio for skew normal distributions. This new skew-normal Shape ratio consistently moves with skewness and no distorted information on performance is provided. An empirical investigation illustrates skew-normality of mutual…
Institution partenaire
English / 01/11/2010
Internal vs. External Risk Measures: How Capital Requirements Differ in Practice
We compare capital requirements derived from tail conditional expectation (TCE) with those derived from the tail conditional median (TCM). In theory, TCE is higher than TCM for most distributions commonly used in finance and at fixed confidence levels; however, we find that in empirical data, there is no clear-cut relationship between the two. Our results highlight the relevance of…
Institution partenaire
English / 01/09/2010
Under Which Conditions is an Insurance Guaranty Fund Beneficial for Policyholders?
Institution partenaire
English / 28/07/2010
The Risk Premium Project (RPP) Update - RPP II Report
Institution partenaire
English / 01/01/2010
Risk Comparison of Different Bonus Distribution Approaches in Participating Life Insurance
Institution partenaire
English / 01/01/2010
Pricing and Performance of Mutual Funds: Lookback versus Interest Rate Guarantees
The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a lookback guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock, bond, real estate, and money market indices, we first calibrate guarantee costs to be the same for both investment guarantee funds. Second, their performance is…
Institution partenaire
English / 23/03/2009
Optimal Rate Classification for Enhanced Annuities : forthcoming in: Zeitschrift fr die gesamte Versicherungswirtschaft
Institution partenaire
English / 01/01/2009
The Swiss Solvency Test and its Market Implications
In this paper, we first discuss the characteristics and major benefits of the Swiss risk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance industry is one of the largest institutional investors in Switzerland, changes to its asset and liability management as a result of the new regulatory framework could have striking economic…
Institution partenaire
English / 01/07/2008
Management Strategies and Dynamic Financial Analysis
Dynamic financial analysis (DFA) has become an important tool in analyzing the financial situation of insurance companies. Constant development and documentation of DFA tools has occurred during the last years. However, several questions concerning the implementation of DFA systems have not been answered in the DFA literature to date. One such important issue is the consideration of…
Institution partenaire
English / 01/06/2008
Does the Measure Matter in the Mutual Fund Industry?
It is frequently noted that investment funds with a nonnormal return distribution cannot be adequately evaluated using the classic Sharpe ratio. However, recent research compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. We extend this research by analyzing a large data set of 38,954 funds investing in seven…
Institution partenaire
English / 01/05/2008
Early detection and management of emerging risks in the financial services industry: lessons from insurance businesses
Organizations interact with their environment at many different
levels. Therefore, surprising events or unanticipated trends in the
environment can quickly lead to negative implications for a company's financial outlook. "Emerging risks", which arise from changing environmental conditions, are especially relevant for the insurance industry. We define…
Institution partenaire
English / 01/01/2008
Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds
The Sharpe ratio is adequate for evaluating investment funds when the returns of those funds are normally distributed and the investor intends to place all his risky assets into just one investment fund. Hedge fund returns differ significantly from a normal distribution. For this reason, other performance measures for hedge fund returns have been proposed in both the academic and…
Institution partenaire
English / 01/09/2007
Dynamic Financial Analysis: Classification, Conception, and Implementation
Dynamic financial analysis (DFA) models an insurance company's cash flow in order to forecast assets, liabilities, and ruin probabilities, as well as full balance sheets for different scenarios. In the last years DFA has become an important tool for the analysis of an insurance company's financial situation. The following article considers three aspects: First, we want to…
Institution partenaire
English / 31/03/2007
The Solvency II Process: Overview and Critical Analysis
As early as the 1970s, European Union (EU) member countries implemented rules to coordinate insurance markets and regulation. However, with the more recent movement toward a general single EU market, financial services regulation has taken on new meaning and priority. Solvency I regulations went into effect for member nations by January 2004. The creation of risk-based capital…
Institution partenaire
English / 31/03/2007
A Management Rule of Thumb in Property-Liability Insurance
Due to substantial changes in competition, capital market conditions, and supervisory frameworks, holistic analysis of an insurance company’s assets and liabilities takes on special relevance. An important tool in this context is dynamic financial analysis (DFA). DFA is a systematic approach to financial modeling in which financial figures are projected under a variety of possible…
Institution partenaire
English / 01/01/2007
Performance Measurement of Hedge Funds Using Data Envelopment Analysis
Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of…
Institution partenaire
English / 01/12/2006
Autocorrelation, bias and fat tails: Are hedge funds really attractive investments?
In the literature, hedge funds often are evaluated by Markowitz portfolio selection theory, under which hedge funds appear to be a remarkable opportunity, seeing as they are characterized by low correlations to stock and bond markets and therefore offer the chance of better portfolio diversification. However, this approach neglects three problems concerning the returns of this…
Institution partenaire
English / 01/06/2006
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