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Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and … insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

Persistent link: https://www.econbiz.de/10011255734

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Instituut - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

Persistent link: https://www.econbiz.de/10011256720

Retirement with Perfect Insurance

Kula, Grzegorz - Tinbergen Instituut - 2003

This paper focuses on the relation between worker's productivity and retirement decision. Assuming that productivity follows geometric Brownian motion with drift, there exists such a level of productivity for which it is optimal to retire. The worker buys an insurance, which gives a constant...

Persistent link: https://www.econbiz.de/10011257396

Free Medicines thanks to Retirement: Moral Hazard and Hospitalization Offsets in an NHS

Puig-Junoy, Jaume; Garcia-Gomez, Pilar; Casado-Marin, David - Tinbergen Instituut - 2011

This paper examines the impact of coinsurance exemption for prescription medicines applied to elderly individuals in Spain after retirement. To evaluate this coinsurance change we use a rich administrative dataset that links pharmaceutical consumption and hospital discharge records for the full...

Persistent link: https://www.econbiz.de/10011257622

Pricing and Hedging Guaranteed Annuity Options via Static Option Replication

Pelsser, Antoon - Tinbergen Instituut - 2002

replicating portfolio is extremely effective asa hedge against the interest rate risk involved in the GAO, that thestatic …

Persistent link: https://www.econbiz.de/10011255515

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Instituut - 2006

the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

Persistent link: https://www.econbiz.de/10011255587

A Dynamic Analysis of the Demand for Health Insurance and Health Care

Bolhaar, Jonneke; Lindeboom, Maarten; Klaauw, Bas van der - Tinbergen Instituut

This discussion paper has led to a publication in <A href="http://www.sciencedirect.com/science/article/pii/S001429211200044X">'European Economic Review'</A>, 56(4), 669-90.<P>We investigate the presence of moral hazard and advantageous or adverse selection in a market for supplementary health insurance. For this we specify and estimate dynamic models for health insurance...</p></a>

Persistent link: https://www.econbiz.de/10011255662

Better Safe than Sorry? Ex Ante and Ex Post Moral Hazard in Dynamic Insurance Data

Abbring, Jaap; Chiappori, Pierre-André; Zavadil, Tibor - Tinbergen Instituut - 2008

This paper empirically analyzes moral hazard in car insurance using a dynamic theory of an insuree's dynamic risk (ex …

Persistent link: https://www.econbiz.de/10011255913

Bank Ownership and Financial Stability

Perotti, Enrico; Vorage, Marcel - Tinbergen Instituut - 2010

. At the transition point there is a jumpin risk taking, as private banks do not internalize the social costs of bank … failure. To discourage private risk taking, the politician leaves more rentsto private banks.We conclude with some suggestive …

Persistent link: https://www.econbiz.de/10011256743

Convertible Bonds and Bank Risk-Taking

Martynova, Natalya; Perotti, Enrico - Tinbergen Instituut - 2012

We study the effect of going-concern contingent capital on bank risk choice. The possibility of debt for equity … conversion forces deleveraging in highly levered states, when risk incentives are worse. The additional equity reduces endogenous … risk shifting by diluting returns in high states. An optimally designed trigger and convertible debt amount trades off this …

Persistent link: https://www.econbiz.de/10011256836