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 show the main drivers why DFA is of special importance today. Second, we classify DFA in the context of asset liability management and analyze its fundamental concepts. However, upon taking a closer look at DFA, we identify several implementation problems that have not yet been adequately considered in the literature. Thus, we finally discuss these areas, in particular the generation of random numbers and the modeling of nonlinear dependencies in a DFA framework.
Seit einigen Jahren wird in Deutschland über Veränderungen in der Finanzierung und im Leistungskatalog des Krankenversicherungssystems intensiv diskutiert. Dabei werden häufig problematische Anreizstrukturen im Hinblick auf das Verhalten der Versicherten genannt. Insbesondere haben Versicherte in Deutschland im Krankheitsfall grundsätzlich wenig Interesse an einer kostengünstigen Behandlung. Zugleich wird auf das Schweizer System als ein Beispiel verwiesen, in dem die Versicherten ein höheres Kostenbewusstsein aufweisen. Im folgenden Beitrag werden die Krankenversicherungssysteme Deutschlands und der Schweiz aus der Perspektive der Versicherten anhand der informationsökonomischen Begriffe des Moral Hazard und der Adversen Selektion analysiert. Dabei zeigt sich, dass beide Systeme bei der Verringerung von Anreizproblemen voneinander lernen können.
In den vergangenen Jahren lässt sich im Finanzdienstleistungssektor ein dynamischer Wandel der Rahmenbedingungen beobachten. Zunächst bewirkt die Deregulierung der Finanzdienstleistungsmärkte eine Erhöhung des Wettbewerbsdrucks und damit eine verstärkt auf Profitabilität ausgerichtete Unternehmenspolitik. Dann führt eine zunehmende Volatilität der Wertpapierpreise bei einem sehr niedrigen Zinsniveau zu erheblichen Veränderungen der Kapitalmarktbedingungen. Schliesslich erfordern veränderte aufsichtsrechtliche und gesetzliche Rahmenbedingungen die Etablierung eines integrierten Risikomanagement. Vor diesem Hintergrund gewinnt die systematische, ganzheitliche Steuerung der Assets (Aktiva) und Liabilites (Passiva) eines Unternehmens eine besondere Bedeutung. Diesem Zweck dient das sogenannte Asset Liability Management.
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 risk, nor increases insurers' vulnerability to impairments of the financial system. However, non-traditional activities (e.g., CDS underwriting) might increase vulnerability and life insurers might be more vulnerable than non-life insurers due to higher leverage. Whether non-traditional activities also contribute to systemic risk is not entirely clear; however, the activities with the potential to contribute to systemic risk include underwriting financial derivatives, providing financial guarantees, and short-term funding. This paper is of interest not only to academics, but is also highly relevant for the industry, regulators, and policymakers.
With respect to the insurance sector, Eling and Pankoke (2014) review 43 theoretical and empirical research papers on systemic risk and suggest several other areas of research that would be useful in this field. We build upon and extend the results by Eling and Pankoke (2014) as follows: After a discussion of the term ‘systemic risk' and a review of the extant research results on systemic risk in the insurance sector, we analyse the implications of this discussion for macroprudential supervision. For this purpose, we evaluate the relevance of banking-sector macroprudential instruments to the insurance sector. Moreover, we discuss to what extent systemic risk might be triggered by regulation itself, especially by Solvency II, the forthcoming European-wide regulatory framework for risk-based capital. Finally, in the last section we provide a summary of the points made in this chapter.
Although every company has discontinued business, its active management is a relatively new topic in practice and an entirely new field of study in academia. Based on a survey of 85 non-life insurers from Germany, Switzerland, Austria, and Luxembourg, we empirically test the market development and find indication that Swiss insurers seem to have more experience with the active management of discontinued business than insurers in other countries. We explain this phenomenon by that country's more advanced solvency capital requirements that better reflect the risk of discontinued business activities. We thus conclude that with the introduction of Solvency II, active management of discontinued business will become more important since insurers will have to hold higher equity capital for discontinued business portfolios. We illustrate this fact within a numerical example which shows that 23 % of the Solvency II non-life premiums and reserve risk can be traced back to discontinued business.
