This contribution discusses a number of ideas for using a shareholder value approach to the problems of risk-adjusted performance measurement and the issue of capital allocation. We demonstrate that, if shareholder value is to be consistently maximised, then not only the total amount of equity...

Um die gesetzliche Rentenversicherung zu entlasten, wurde mit dem Altersvermögensgesetz (AVmG) zum 01.01.2002 in Deutschland die staatlich geförderte kapitalgedeckte private und betriebliche Altersvorsorge erheblich in ihrem Umfang erweitert. Im Rahmen der privaten Altersvorsorge stellen...

Much of the industrialized world is undergoing a significantdemographic shift, placing strain on public pension systems. Policymakers are responding with pension system reforms that put more weight on privately managed retirement funds. One concern with these changes is the effect on individual...

We build on Peter et al. (2017) who examined the benefit of testing frequency risk under various information regimes. We first consider testing only severity risk, and whether the principle of indemnity, i.e. the usual contract term that excludes claims payments above the resulting insured loss,...

This paper analyzes the scope of the private market for pandemic insurance. We develop a framework that explains theoretically how the equilibrium price of pandemic insurance depends on accumulation risk, covariance between pandemic claims and other claims, and covariance between pandemic claims...

We investigate whether a historical pension concept, the tontine, yields enough innovative potential to extend and improve the prevailing privately funded pension solutions in a modern way. The tontine basically generates an age-increasing cash flow, which can help to match the increasing...

Market risks account for an integral part of insurers' risk profiles. We explore market risk sensitivities of insurers in the United States and Europe. Based on panel regression models and daily market data from 2012 to 2018, we find that sensitivities are particularly driven by insurers'...

Lack of transparency in securitization transactions significantly contributed to thesevere financial crisis of 2007–2009. To increase transparency we—based on arecent idea by Markowitz (2009)—propose an incentive compatible mechanismfor future securitization transactions: financial claims...

Die vorliegende Arbeit besteht aus vier Aufsätzen, die sich mit der Modellierung von Markenwahlverhalten und Markentreue beschäftigen. Der erste Aufsatz gibt eine Einführung in das Nested Logit Modell und weist auf die Existenz von zwei unterschiedlichen Spezifikationen hin. Das utility...

Much of the industrialized world is undergoing a significant demographic shift, placing strain on public pension systems. Policymakers are responding with pension system reforms that put more weight on privately managed retirement funds. One concern with these changes is the effect on individual...