Wertorientierte Steuerung von Lebensversicherungsunternehmen mittels stochastischer Prozesse

In this paper we present the concept for value based management of life insurance companies using stochastic process methods. The stochastic processes are used for modelling the random parameters determining the value. Stochastic processes in discrete and continuous time as well as with discrete and continuous state space are considered. As shown in the article this results in distribution functions for the corporate value which lie approximately or even exactly in the class of normal distribution functions.     

Organisatorische Planung des Asset-Liability-Managements von Versicherungsunternehmen

How to organize an insurance company’s asset-liability-Management? To answer this question a decision model is constructed which can support decisionmakers in practice. To operate the model it is assumed that the utility produced by different organizational solutions depend on the relevance of savings the insurance company manages on behalf of the insured. The relevance is (a) lower in casualty related branches and it is (b) higher in life or life related branches. The model’s outcome is that an organizational solution which gives the units more autonomy is best in situation (a). In Situation (b), however, a more centralised coordination is favourable.     

Risikoberichterstattung von Versicherungsunternehmen — Analyse der Risikoberichte im Zeitablauf

This paper presents the findings of an empirical study of the development of risk reports of German insurance companies from 1999 until 2003. The empirical study is based on formal aspects and a detailed content analysis of risk reports which companies have to publish by German Commercial Law (HGB). The analysis is based on generally accepted accounting principles for management reports in annual financial statements and GAS 5-20. The goal is to collect formal and qualitative information about changes in risk reports and their performance in terms of fulfilling industry-specific supervisory risk regulations over time. The sample shows a significant continuous improvement of risk reports from 1999 until 2003. The results of the paper lead to further implications regarding the specification of Solvency II: Improvements have to be made especially in terms of specifying and quantifying company risk. Finally the paper offers suggestions for improvements in risk reporting which should be considered in the development of european standards.     

Absatzplanung im Versicherungsunternehmen

Zeitschrift für die gesamte Versicherungswissenschaft -     

Wertorientierte Performancemessung im Kompositversicherungsunternehmen

Changing conditions on insurance markets and capital markets involve stronger requirements on the management of insurance companies. Here, the concept of value based management can provide a framework for efficient and profitable corporate management. Central point in this methodology is the value of the company. Changing values over time show the reached performance. In the presented paper we develop a model to value the cashflows especially for a property-liability-insurance company and adopt the model for performance measurement. The study examines theoretical aspects on the one hand and near practical aspects with the special focus on an examplary implementation on the other hand.     

Spieltheoretische Verfahren der Kapitalallokation im Versicherungsunternehmen

The present contribution displays a transfer of selected examples of game theory cost allocation techniques for the case of capital allocation in insurance companies. The starting point is the determination of a particular class of game theoretic solution concepts. The respective allocation methods and their critical examination are preceded by an introduction of an at first solely game theoretic motivated axiom system, in which the relations to the coherent allocation principles used by Albrecht / Koryciorz are elaborated. In the end with the nucleolus as a game theoretic solution and the conditional value-at-risk principle, two coherent allocation principles are exemplary contrasted.     

Risikomanagement von Versicherungsunternehmen nach KonTraG

The KonTraG (law for control and transparency of firms) obliges corporations to install a risk management system. The common literature referring to the KonTraG only offers some requirements for risk management models. Yet, approaches for an implementation in the insurance practice cannot be found. On the other hand, there is a variety of general stochastic insurance models, but due to their high complexity a practical implementation for KonTraG purposes is doubtful. This article wishes to serve as a link by including KonTraG requirements in a theoretical model, which can easily be implemented in insurance practice with the help of modern IT. The main focus of this article is the development of a risk management model for property-liability and reinsurance companies.