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The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees

Li, Jing; Szimayer, Alexander - 2010

We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...

Persistent link: https://www.econbiz.de/10010293371

Institutional Herding in Bond Markets

Oehler, Andreas; Chao, George Goeth-Chi - 2000

Recent research has shown that institutional herding is a relevant phenomenon in stock markets. Do institutional investors also follow each other in bond markets? This paper focuses on the German bond market and uses data from 57 German mutual funds that invest mainly in DM-denominated bonds,...

Persistent link: https://www.econbiz.de/10010296584

Kosten der privaten Altersvorsorge: Private Rentenversicherungen und Fondssparpläne im Vergleich

Westerheide, Peter - 2001

Ansparen in Investmentfonds mit gleicher durchschnittlicher Renditeerwartung vor Kosten, wie sie private Rentenversicherungen … bieten, und den hier unterstellten Kosten für aktienorientierte Investmentfonds aus Kostensicht nicht immer effizient ist …. Sofern aktienorientierte Investmentfonds jedoch im langfristigen Durchschnitt höhere Renditen vor Kosten erwirtschaften …

Persistent link: https://www.econbiz.de/10010297736

Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices

Schröder, Michael - 2003

considers market timing strategies of the fund management and takes publicly available information into account (conditional …

Persistent link: https://www.econbiz.de/10010298128

Institutional investors in Germany: Insurance companies and investment funds

Maurer, Raimond H. - 2003

This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of...

Persistent link: https://www.econbiz.de/10010298239

Contractual relations between European VC-funds and investors: The impact of reputation and bargaining power on contractual design

Schmidt, Daniel; Wahrenburg, Mark - 2003

expectations by fund managers which make them willing to accept higher powered incentive schemes. …

Persistent link: https://www.econbiz.de/10010298250

Venture capital syndicate networks: the determinants of interconnectedness

Schilder, Dirk - 2007

Dieser Artikel untersucht die Venture Capital (VC) Syndizierungsnetzwerke in Deutschland und inwieweit bestimmte Charakteristika der beteiligten VC Gesellschaften die Vernetzung der Investoren beeinflussen. Der verwendete Datensatz besteht aus 300 VC Investitionen und deren Investoren aus den...

Persistent link: https://www.econbiz.de/10010298529

Different risk-adjusted fund performance measures: a comparison

Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

Persistent link: https://www.econbiz.de/10010299556

Network hierarchy in Kirman's ant model: fund investment can create systemic risk

Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009

Kirman's ant model has been used to characterize the expectation formation of financial investors who are prone to herding. The model's original version suffers from the problem of N-dependence: its ability to replicate the statistical features of financial returns vanishes once the system size...

Persistent link: https://www.econbiz.de/10010299741

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

fund families show higher sales and redemption rates. Furthermore, family size also affects the flow …

Persistent link: https://www.econbiz.de/10010300703