Risikobilanzierung unter Solvency II für deutsche Lebensversicherungsunternehmen aus aktuarieller Sicht

Writing an up-to-date market value balance sheet that is compatible to Solvency II is based on notions and requires various methods as well as skills exceeding the demands of a book value approach. Apart from the application of fundamental principles specialized know-how pertaining to the company concerned is particularly indispensible. However, acquiring this knowledge is associated with serious efforts depending on the individual business’ size and complexity. Additionally, the overall view onto the undertaking governing solvability balance sheet approaches has to be distinguished and taken into account. Experience shows, that this overall view especially stipulates augmented attention and is impeding a standardized compilation of an up-to-date market value balance sheet.     

Sicherungssysteme für Finanzdienstleistungsunternehmen im europäischen Vergleich – Theorieperspektive

The contribution discusses the design of guarantee schemes for financial services firms, with a focus on insurance guarantee schemes. It lists reasons that contribute to the development of guarantee schemes, especially stemming from a market failure risk. It further describes the pros and cons of ex-ante and of ex-post premium payments, and sets out arguments for and against risk based premiums of insurance guarantee schemes. The contribution also investigates whether the existence of insurance guarantee schemes might lead to a more risky insurance firm policy. Finally it examines in how far consumer protection based on insurance guarantee schemes prevents consumer protection based on market discipline that should be achieved by the third pillar of Solvency II.     

QIS4 – Konzeption des europäischen Standardansatzes und Kapitalausstattung für Schaden-Unfallversicherer – Analyse und Beurteilung

The paper examines the updated requirements for risk based capital evaluation within the framework of the European Solvency??II project. The early results for the quantitative impact study QIS4 will be shown and feasible effects on the insurance industry will be derived. In contrast to the previous system, Solvency??II is based on a market value approach which gives incentives to insurance companies to improve their internal risk management and assessment procedures through the enforcement of riskadequate illustration of the overall risk position. Here probability distributions are calculated for each risk categories in the standard approach. For this reason a quantitative term is derived to assess the overall risk position of an insurer which arises from the aggregation of each single risk considering the diversification effect. The extent of uncertainty is predetermined by the legislator. For the acceptance of future arrangements it will be important to answer the question whether these approaches are manageable and adequate.     

Katastrophenanleihen als Risikotransfer-Instrument für Industrieunternehmen

All over the world an increase in natural catastrophes and resulting damages can be observed for entire economies as well as for individual industrial enterprises. This trend leads to extraordinary expensive traditional natural catastrophe insurance or even a lack of insurance capacities. Due to the increased threat resulting from natural catastrophes and the inefficiencies of traditional insurance solutions, it will be analyzed in the following whether catastrophe bonds (cat bonds), as an alternative risk transfer instrument, should play a role in the risk management portfolio of industrial companies. It will be discussed whether catastrophe bonds are possible risk transfer instruments for industrial companies and whether certain basic prerequisites for a confirmation of the suitability are recognizable. In a further step, the design possibilities for cat bonds will be presented and the most suitable design alternatives for industrial companies as issuers of cat bonds will be elaborated. In addition, a critical comparison between the usage of traditional insurance solutions and cat bonds by industrial companies in order to protect themselves against natural catastrophes will be conducted. The result is a first orientation and a general guideline for dealing with catastrophe bonds as part of the operational risk management for industrial companies.     

Die neuen dänischen sterblichkeitstafeln für minderwertige leben

Versicherung minderwertiger Leben hat in Dänemark lange stattgefunden. Erstens haben die Lebensversicherungs gesellschaften in Dänemark — wie überall - Personen aufgenommen, deren Gesundheitszustand eine geringere als die normale war. Die hierbei gewöhnlich verwendete Methode bestand darin, dass man der betreffenden Person ein höheres Alter als das wirkliche beilegte. Wenn der Gesundheitszustand eine so schlechte war, dass die Alterserhöhnng mehr als 10 Jahre betragen musste, wenn die Prämie als hinreichend geschätzt werden konnte, wurde der Antrag gewöhnlich abgelehnt. Es war im allgemeinen die Regel, dass die Alterserhöhung auch bei der Berechnung der Prämienreserve und des Rückkaufswerts in Rechnung gebracht wurde. Karenzzeit entweder gewissen Todesursachen gegenüber oder allgemeine Karenz kam natürlich auch vor. Während also die meisten Gesellschaften die schlechteren Risiken ganz ablehnten, konnte jede Person bei der Gesellschaft ?Danmark? cin der sogenannten ?Unterabteilung? eine Versicherung bekommen. Die Prämien wurden nach einer sehr strengen Sterblichkeitstafel ausgerechnet, und für alle Versicherungen galt eine 5- jährige Karenz.     

Ein konvergenzkriterium für erneuerungszahlen

Abstract

Inhalt des bekannten Erneuerungsproblems ist es, bei einer Gesamtheit (Versichertenbestand, Viehherde, Warenlager, etc.) deren Elemente infolge gewisser Ursachen (Todesfall, Unbrauchbar-oder Verkauft werden, etc.) aus der Gesamtheit ausscheiden können, den Neuzugang zu untersuchen, der dazu nötig ist, die Gesamtheit auf konstantem Umfang zu erhalten. Bei diskontinuierlich sich erneuernden Gesamtheiten, wie sie in dieser Note betrachtet werden sollen, vollziehen sich die Wechsel im Bestand immer am Ende einer festen Zeiteinheit (Jahr, Tag, etc.). Das zufallsartige Ausscheiden der Elemente aus der Gesamtheit sei geregelt durch ein als bekannt vorausgesetztes Abbaugesctz. Darunter versteht man ein System von K - 1 Zahlen (1) P ₀, P ₁, P ₂, . . PK;wo P _v die Wahrscheinlichkeit für ein der Gesamtheit neu angegliedertes Element ist, ihr mindestens v Zeiteinheiten anzugehören.Diese Wahrscheinlichkeiten können durch überwachungeiner geschlossenen Elementengesamtheit statistisch gewonnen werden. Das Abbrechen des Abbaugesetzes bedeutet, dass kein Element mehr als K Zeiteinheiten der Gesamtheit angehört.     

Geologisches Risikomanagement für Versicherungen

The application of Geoinformationsystems under geological, hydrological and hydrogeological aspects for the risk management is a further development of the geographical underwriting of the insurance industry. The knowledge of the geology, hydrology and hydrogeology is fundamental for the understanding and spatial analysis of insured objects before and during loss events for example with contaminations of the aquifer. Furthermore possible loss scenarios could be prevented or minimized if the subsurface geology and hydrogeology are already known and integrated in the initial insurance appraisal. The modelling and classification of the geoscientific knowledge also enables the definition of Action Zones, which allow a better appraisal and assessment of the insurable objects. This leads to an optimized and transparent premium calculation for both, the insurance and the policyholder (Münchener Rück 2002). The visualization of the geoscientific subsurface information in Geoinformationsystems is simple and economical feasible, it is quick to analyze and combinable with additional information and gives important insights in the subsurface structures. The paper describes a workflow how such Action Zones could be assessed and the additional information for the premium is generated.     

Prognose des Abwicklungsergebnisses mittels Chain-Ladder-Verfahren für abhängige Run-Off-Portfolios

In the present paper we analyse how the estimators from Merz u. Wüthrich (2007) could be generalised to the case of N correlated run-off triangles. The simultaneous view on N correlated subportfolios is motivated by the fact, that in practice a run-off portfolio often has to be divided in subportfolios, so that the homogeneity assumption of the claims reserving method on each subportfolio is satisfied. We derive an explicit formula for the process-variance, the estimation-error and the prediction error made by the forecast for the claims development result with the Chain-Ladder method. We illustrate the results by an example.     

Verfassungsrechtliche Vorgaben für Sozialversicherungsreformen

German social insurance is to adapt to societal changes and requires reforms if it is not to fail in its protective purpose. The Constitution sets framework conditions for such reforms: It allows for further development and changes in existing structures, yet it also postulates consistency, protects acquired rights and urges existing social security systems to be effective. The legislator may not completely dispense with risk protection. At the same time, the Constitution grants the legislator sufficient scope for action, since he may lay down the type and level of security. However, the Constitution also ensures a certain continuity through the protection of confidence, as drastic restructuring measures may entail great costs with respect to the transition of protected rights.     

Pflichthaftpflichtversicherung für Hersteller von Medizinprodukten – überfällig oder überflüssig?

Given actual legislative initiatives in the German Bundestag the question arises as to whether in the interest of patient safety-compulsory liability insurance for producers of medical devices should be implemented. At present, these proposals for reform are incompatible with the constitutionally-guaranteed principles of professional freedom and freedom of contract. Furthermore, it is questionable whether compulsory liability insurance would in fact improve the situation of patients taking into consideration the insurer’s status and possible release from obligation. Should compulsory liability insurance pass constitutional review due to new factual findings in the future, a direct claim against the liability insurer is not advisable. A possible victim compensation fund is not to be financed by the producers or their liability insurers.     

Pay-As-You-Drive Angebote von Erstversicherern für Privatkunden

“Pay-as-you-drive” (PAYD) concepts for car liability insurances envisage that real driving behavior and situation data are captured and processed via car sensors and tracking systems in order to calculate case-specific insurance rates which better correspond to the risk profiles of policy holders (PH) than conventional tariffs. The present article provides an outline of PAYD insurance variants, of legal arrangements with particular relevance for PAYD offerings in Germany and of the international dissemination of PAYD concepts. It shows that although PAYD offerings of direct insurers (DI) for private customers are not barred by insurmountable technical or legal barriers, they so far have little practical relevance in Germany. Against this background expected PAYD impacts on revenues and costs of DI are discussed in detail in order to analyze the extent to which DIs’ cautious PAYD offering strategies may be qualified as economically reasonable. The investigation suggests that the profitability effects of PAYD insurances of DI targeted at private customers are far from being definitely and clearly positive. Thus, it is very unlikely that DI will make significant investments on their own in order to create a large German residential market for PAYD insurances. Rather such a market will not emerge without accompanying state interventions.     

Die Risikoübernahme von Versicherungsunternehmen: Eine empirische Analyse für Deutschland und Großbritannien

In this paper we analyze the risk resulting from an insurer’s investment policy. For this a hypothetical asset return rate is defined, based on which the German and British insurance market is analyzed. The study design allows an investigation of the investment risk in different countries or for different lines of business. The aim of the analysis is to detect general market trends in the investment policy and an analysis of effects of important changes over time on the investment risk of insurers. The questions analyzed in this paper are also of particular relevance beyond the background of current reform proposal for insurance regulation in Europe in the field of risk management and capital adequacy (Solvency II).     

Die Bedeutung der Haftpflichtversicherung für die Annahme konkludenter Haftungsausschlüsse

The article covers the practically important question under which circumstances the construction of implied exclusions of liability is influenced by the liability insurance of the injuring party. It is focused on the two practically most relevant case groups in which the jurisdiction considers implied exclusions of liability possible (liability in accommodation agreements and liability in sports). The author firstly shows that under tort law, the consideration of liability insurance is both possible and necessary. Secondly, the author demonstrates that possible objections based in insurance law (such as the principle of separation) are not convincing. This is not limited to compulsory insurances, but applies to all types of liability insurances.     

Solvenzkapital für FLV unter Berücksichtigung von dynamischem Storno

Der vorliegende Beitrag zeigt ein Verfahren zur Modellierung dynamischen Stornos im Rahmen eines partiellen internen Modells zur Bestimmung des Solvenzkapitals auf. Dabei wird das Stornoverhalten der Versicherungsnehmer von der Entwicklung des Kapitalmarktes und somit des Fondswertes einer fondsgebundenen Lebensversicherung beeinflusst. Das partielle interne Modell erm?glicht es dem Versicherungsunternehmen stochastische Bewertungen durchzuführen, ohne dabei auf die Vorteile der Standardformel zur Bestimmung des Solvenzkapitalbedarfs zu verzichten. Es konnte nachgewiesen werden, dass die Berücksichtigung dynamischer Stornorisiken unter bestimmten Annahmen erhebliche Auswirkungen auf die H?he des Solvenzkapitalbedarfs haben kann. Eine genaue Untersuchung des tats?chlichen Stornoverhaltens der Versicherungsnehmer erscheint vor dem Hintergrund dieser Ergebnisse notwendig.     

Das Restglied der Taylorschen Reihe des Rentenbarwertes und einige Formeln des Zinsfussproblems für grosse Zinsspannungen

Abstract

Im Zinsfussproblem spielen eine wichtige Rolle drei Hilfsfunktionen der Summen der diskontierten Zahlen, die wir vorweg kurz erwahnen wollen. Unter der nten Summe der diskontierten Zahlen D_x verstehen wir SpezieU haben wir:      

Unterschriftenpads in der Kranken- und Lebensversicherung – Zur Vereinbarkeit der Verwendung eigenhändig unterzeichneter elektronischer Dokumente mit den Formvorschriften für den Vertragsabschluss in der Kranken- und Lebensversicherung

Insurance business is more and more based upon ecommerce and internet. But this situation causes legal problems. Insurance regulations are often based on the obligation to close contracts or to submit documents in a written form. This obligation prevents insurance business from using new modern tools like for instance PADs and tablet computers for the transmission of consumer data to the IT center of an insurance company. The following considerations deal with the use of tablet PCs and internet in life and health insurance business and tries to demonstrate that the written form required by law is not a real obstacle in insurance business.     

Über die herleitung einiger formeln für mittlere fehler

Abstract

In meiner Arbeit »Zur Korrelationstheorie»¹ habe ich u. a. Formeln zur Berechnung des mittleren Fehlers eines partiellen Regressionskoeffizienten und eines partiellen Korrelationskoeffizienten abgeleitet. Die hierbei angewandte Methode liefert zwar das Resultat in aller Strenge, sie lässt aber noch an Einfachheit zu wunschen ubrig, und es geht aus den Entwickelungen nicht hervor, inwieweit sie auf andere gleichartige Aufgaben anwendbar ist. Im folgenden wird eine Darstellung dieser Methode gegeben, indem versucht wird, dieselbe so einfach wie moglich zu gestalten und die Tragweite derselben zugleich moglichst klar hervortreten zu lassen.