Publications des institutions partenaires
The Structure of the Global Reinsurance Market: An Analysis of Efficiency, Scale, and Scope
We estimate economies of scale and scope as well as cost and revenue efficiency to explain the structure of the global reinsurance market, where large reinsurers dominate but both diversified and specialized reinsurers are competitive. The costs and benefits of size and product diversification are particularly relevant to the reinsurance industry, as risk diversification is central...
Institution partenaire
English / 01/01/2017
Contract Nonperformance Risk and Ambiguity in Insurance Markets
Insurance contracts may fail to perform, leading to a total or partial default on valid claims. We extend models of such probabilistic insurance to allow for ambiguity in contract nonperformance risk, and derive formally that mean-preserving ambiguity reduces demand. The results of a field lab experiment are consistent with this logic. In particular, we find that a 10 percent...
Institution partenaire
English / 01/01/2017
Pricing of Catastrophe Risk and the Implied Volatility Smile
Property-casualty (P&C) insurers are exposed to rare but severe natural disasters. This paper analyzes the relation between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly steeper compared to non-financials and other financial institutions. We show that this effect has increased over time, suggesting a higher...
Institution partenaire
English / 22/07/2016
The Determinants of Efficiency and Productivity in the Swiss Insurance Industry
Using state-of-the-art frontier efficiency methodologies, we study the efficiency and productivity of Swiss insurance companies in the life, property/casualty, and reinsurance sectors from 1997-2013. In this context, we provide the first empirical analysis of internationalization strategies of insurance companies, a topic of high interest in the business and economics literature, but...
Institution partenaire
English / 16/01/2016
Basel III versus Solvency II: An Analysis of Regulatory Consistency under the New Capital Standards, Presentation at the 50th Annual Meeting of the Western Risk and Insurance Association (WRIA) (Maui, USA)
Institution partenaire
English / 03/01/2016
The Roles of Industry Idiosyncrasy, Cost Efficiency, and Risk in Internationalization: Evidence From the Insurance Industry
A central matter of dispute in the internationalization literature is the existence and shape of a systematic relationship between the degree of internationalization and firm performance (I-P relationship). Considering the global insurance industry, we show that the I-P relationship depends on the industry's idiosyncrasies and on the geographical scope of internationalization....
Institution partenaire
English / 01/01/2016
Asset Pricing of Financial Institutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry
Insurance companies are important financial institutions exposed to natural and man-made disasters. We conduct a comprehensive examination of existing asset pricing models in the US insurance universe (1988-2013) and propose an insurance-specific asset pricing model. We find that extant asset pricing models fail to explain the cross-section of insurance stock returns. Instead, we...
Institution partenaire
English / 01/01/2015
The Determinants of Microinsurance Demand
The purpose of this article is to structure the extant knowledge on the determinants of microinsurance demand in a manner that achieves several outcomes. First is to offer a specific economic structure to the review through use of Outreville's insurance demand framework. Second is to identify key questions that arise out of structuring the material in this way. In particular, we...
Institution partenaire
English / 11/04/2014
Re-Setting the Stage for Privacy : A Multi-Layered Privacy Interaction Framework and Its Application
This book chapter develops a mulit-layered privacy interaction framework to account for the social embeddedness of online privacy. Drawing on Urie Bronfenbrenner's ecological systems theory, we analyze informational privacy on the Internet on four layers: the micro-system, the exo-system, the meso-system and the macro-system. The micro-system encompasses the individual and its...
Institution partenaire
English / 01/01/2014
Between-Group Adverse Selection: Evidence from Group Critical Illness Insurance
This paper demonstrates the presence of adverse selection in the group insurance market for policies that allow no individual choice. As a "conventional wisdom," group insurance mitigates adverse selection, since individual choice is minimized and group losses have less variability than individual losses. We complement this "conventional wisdom" by analyzing a...
Institution partenaire
English / 01/01/2014
Basis Risk, Procyclicality, and Systemic risk in the Solvency II Equity Risk Module
This paper analyzes the equity risk module of Solvency II, the new regulatory framework in the European Union. The equity risk module contains a symmetric adjustment mechanism called equity dampener which shall reduce procyclicality of capital requirements and thus systemic risk in the insurance sector. We critically review the equity risk module in three steps: we first analyze the...
Institution partenaire
English / 01/01/2014
Costs and Benefits of Financial Regulation - An Empirical Assessment for Insurance Companies
We empirically analyze the costs and benefits of financial regulation based on a survey of 76 insurers from Austria, Germany and Switzerland. Our analysis includes both established and new empirical measures for regulatory costs and benefits. This is the first paper that tries to take costs and benefits combined into account using a latent class regression with covariates. Another...
Institution partenaire
English / 01/01/2014
Systemic Risk in the Insurance Sector: Review and Directions for Future Research
This paper reviews the extant research on systemic risk in the insurance sector and outlines new areas of research in this field. We summarize and classify 43 theoretical and empirical research papers from both academia and practitioner organizations. The survey reveals that traditional insurance activity in the life, non-life, and reinsurance sectors neither contributes to systemic...
Institution partenaire
English / 01/01/2014
Sophisticated vs. Simple Systemic Risk Measures
This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which institutions contribute to systemic risk. In this investigation, DCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger-Causality Networks are considered as sophisticated systemic risk measures. Market capitalization, total debt, leverage, the stock market returns...
Institution partenaire
English / 01/01/2014
Does Surplus Participation Reflect Market Discipline? An Analysis of the German Life Insurance Market
The aim of this paper is to analyze whether the level of surplus participation affects customer demand. We use multivariate linear regression models and data on surplus participation, new business, and lapse for the German life insurance market from 1998 to 2008. We find a significant positive dependence between surplus participation and new business growth as well as a significant...
Institution partenaire
English / 01/12/2012
Is there Market Discipline in the European Insurance Industry? An Analysis of the German Insurance Market
Institution partenaire
English / 01/09/2012
Reframing Customer Value from a Dominant Logics Perspective
Customer Value (CV) is one of the most crucial concepts in the field of marketing. Literature states that the identification and creation of CV is decisive for the strategic success of any organization. Moreover, CV was coined a hot research topic in the field of marketing for the years of 2010-2012 by the Marketing Science Institute (2011). However, there is still no clear opinion...
Institution partenaire
English / 01/08/2012
Sufficient Conditions for Expected Utility to Imply Drawdown-Based Performance Rankings
The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) property (see Sinn, 1983 and Meyer, 1987). The normal, the extreme value, and many other distributions commonly used in finance satisfy this property. We argue that the LS property is also sufficient for expected utility to imply drawdown-based performance...
Institution partenaire
English / 01/09/2011
A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts
Institution partenaire
English / 21/06/2011
The Impact of Introducing Insurance Guaranty Schemes on Pricing and Capital Structure
Institution partenaire
English / 20/06/2011
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