Kongruente Rückdeckung von Pensionszusagen durch Versicherungsprodukte

When a German employer establishes a defined benefit pension plan for his employees, it is common practice in Germany to purchase life insurance policies in order to finance the plan and transfer the risks from the plan to the insurer. A complete transfer of risk can only be obtained by purchasing a congruent insurance policy. The present paper develops a formal definition of congruence of an insurance policy to a pension plan. The definition is applied to a simple practical example. It becomes clear that it is almost impossible to obtain congruence of a traditional German life insurance product to an employer's defined benefit pension plan.     

Zukunft der Versicherung – Versicherung der Zukunft

The insurance industry is currently characterized by a long-lasting low-interest period and various legislative proposals. Especially the bundling of the requirements of Solvency II, the so called “interest back-up reserve” and the achievement of promised guarantees in the current interest rate environment represent a major challenge for the life insurance industry. In a joint study by Deloitte, E?+?S Rück and the University of Hannover, within the sense of qualitative research by collecting broad expert knowledge the economic effects of the regulatory provisions were discussed. Another focus of research refers to the expectations of the industry representatives regarding the advancing digitization. This paper presents selected reactions and consequences of life insurance companies and derives recommendations for that industry.     

Aktienanlage für Lebensversicherer unter Solvency II

Life insurance companies are among the largest institutional investors. As part of their investment policy they are subject to special legal requirements. In particular the calculation of the solvency capital that has to be deposited for the market risk has changed under Solvency II. A widely spread thesis on this topic is that investments in equity have become unprofitable for life insurers due to solvency capital requirements – compared to previous periods of high equity ratios of temporally over 25%. Therefore insurers might have dropped their average stock quotas to below 5%.The intention of the present study is to analyze whether the capital requirements for the equity investments under Solvency II are a hurdle to achieve a reasonable profitability or – opposite to that – whether the equity investments are a suitable investment to provide an acceptable return on assets. For this purpose the solvency capital requirements of the equity investment under Solvency I considering the BaFin stress test are compared with the new solvency capital requirements under Solvency II including the symmetric adjustment factor (SA). Furthermore the diversification effects are taken into account; they are analyzed on the basis of the SFCR reports of the life insurance companies first published in 2017. As a result the risk capital requirements for equity investments under Solvency II have been reduced to more than 50% compared to prior solvency requirements and depending on the observed scenarios. Whilst Solvency I required an underlying risk capital of 31% at the end of 2017, Solvency II requires only 13.56% following the standard model and after aggregating the risk-mitigating effects in the group scenario. This effect results in a surplus of 7.2%, considering industry-standard capital costs for the underlying solvency capital and an average stock market return of 8% per annum. Consequently the equity investment is suitable to increase the profitability of the investments of German life insurance companies especially in the environment of low interest rates in the capital market for fixed income titles.     

Betriebsunterbrechungsversicherung bei kleinen und mittleren Unternehmen

The business interruption caused by a property claim is an existential risk both for large industrial companies and for small to medium enterprises (SME). It is especially relevant for companies working on a more complex sales and production infrastructure. Statistics show that in case of a large property claim the cost of the accompanying business interruption claim frequently exceeds the property claim. In Germany, however, the share of companies opting for business interruption insurance is much smaller than those opting for property insurance. This is especially true for SME that can hardly cover the risk themselves. The goal of this paper is to analyze the insurance decision for a business interruption policy with a special focus on SME. As a database we use the results of a representative survey among 1802 German SME with up to 100 employees. Our results show that the decision for a business interruption policy is not only dependent on hard factors such as company size and industry, but also driven by the so-called “insurance mentality”, which includes risk aversion, insurance know-how and price-sensitivity.     

Considerations of a gold-denominated life insurance policy

Global inflation and economic cyclical fluctuations have accelerated the depreciation rate of monetary assets. Safeguarding the purchasing power of long-term life insurance products’ cash flow becomes an issue of great theoretical and practical significance for life insurance. Using data from China, this article designs a long-term life insurance policy denominated in ounces of gold, and compares it with traditional long-term life insurance policies. For the time frame of interest to this study, we confirm that a long-term life insurance policy denominated in ounces of gold provided significant protection against the effects of inflation and economic cyclical fluctuations. We propose a risk management program aimed at price risk, interest rate risk, currency risk and investment risk as a result of the insurance policy denominated in ounces. Our recommended strategy includes an inducing index method to hedge against the losses caused by price fluctuations of gold.     

2010年2月国际金融市场运行综述

2010年2月，受欧洲主权债务问题影响，市场避险情绪升温，美元对欧元、英镑走强，对日元走弱。因市场预期欧央行、日本银行和美联储将继续保持较为宽松的货币政策，英国可能率先加息，美元、欧元、日元短期利率基本走平，英镑短期利率微升。美国、英国、德国中长期国债收益率先升后降，日本中长期国债收益率下降。全球主要股指先跌后涨。     

Online-Aktivität als moderierender Effekt der Wirkung Convenience instrumentalisierender Attribute auf Kundengewinnung im Versicherungsneugeschäft

Digitization’s increasing influence on the Germans’ everyday lives leads to changes in their buying behavior. In the internet age, customer orientation means, inter alia, to actually understand the changes in the consumers’ expectations. This raises the question how the shift of customer activity from the analogue to the digital world changes the effect of certain exogenous, convenience exploiting attributes on a supplier’s predefined response variables (e.?g. customer acquisition). This article focuses on the insurance industry and, theoretically, deals with the question, whether doing business online can be considered as moderating effect of the relationship between convenience attributes (controllable by insurers) and customer acquisition as target figure in insurance business. Based on the example of contracting a new motor insurance policy it can be derived hypothetically that “digital customers” have different expectations in terms of speed of processing (as convenience attribute) than those signing a policy together with their agent.     

Zum Treuhänder des Sicherungsvermögens unter dem neuen Versicherungsaufsichtsgesetz – Auswirkungen der Solvency II-Umsetzung

This paper is about the consequences of the transposition of the Solvency II Directive into the new German insurance supervisory law (VAG 2016) on the trustee for monitoring of the guarantee assets. The trustee of the guarantee assets is a national security mechanism to protect policyholders in case of insolvency of their insurance undertaking. The previous German Regulation of Investments (AnlV) is not valid any more for insurance undertakings falling under Solvency II since 01.01.2016. Instead of legal investments rules insurance undertakings are now obliged to have a (written) internal investment policy, which is also the basis for monitoring of guarantee assets by the trustee. Challenges arise because of the clash of the accounting view (German local GAAP) and the market valuation view of Solvency II. Our analysis contributes to a better understanding of the interplay between unchanged legal provisions and the new economic, risk based perspective of Solvency II.     

Konvergenz des Versicherungsvertragsrechts in Europa?

Insurance law has been embedded in an international context ever since. This is true not only for marine insurance and reinsurance but also for manifold other branches of the insurance sector. Against this background, the European Single Market and the intended legal harmonisation and integration are particularly important for insurance contract law. The future development of insurance law should give special attention to the question if and to what extent there is a convergence in the respective member state insurance contract laws. At the outset, the comparative analysis shows that French and German insurance contract law is governed by a “risk bearing community model” (Gefahrengemeinschaftsmodell) and that English law can be characterized as an “individual contract model” (Individualvertragsmodell). Convergence is not only found in European directives but also in reforms and reform proposals in member state law.     

The impact of risk-based regulation on European insurers’ investment strategy

This paper examines the impact of Solvency II on the attainability of target returns, the attainability of portfolio efficiency and the asset allocation of European insurers. I start with a brief introduction to the Solvency II Directive, focusing on the rules for calculating solvency capital requirements (SCR) according to the Solvency II standard formula. The subsequent numerical analysis includes several portfolio optimizations focusing on six relevant asset classes for the 1993–2017 time period. I derive optimal portfolios with respect to the Solvency II capital requirements, with respect to conventional risk measures, and I combine both optimization problems. My results show that the capital requirements according to Solvency II are not adequately calibrated. Nevertheless, due to a solid equity base, the majority of European insurers are still able to attain high target returns and mean-variance-efficiency. However, undercapitalized insurers are not able to hold risk-optimal allocations of equities, real estate and hedge funds any longer. In an environment of very low interest rates, these insurers may also face difficulties obtaining their target returns. To the best of my knowledge, this is the first paper to explicitly incorporate the solvency capital requirement as a numerical constraint into the insurers’ portfolio optimization problem. As a result, my approach first provides insights about the attainable target return and the asset weights as a direct function of insurers’ equity.     

Mittelbare Diskriminierungen bei Unisex-Versicherungstarifen

The article drafts a concept for applying the prohibition of indirect gender discrimination in the specific situation of insurance tariffs. In order to reveal indirect discrimination it has to be shown that each gender is affected differently by a differentiating factor to a significant extent. The basis is a statistical comparison between the total group and the disadvantaged subgroup (among potential insurance holders). Because of Art. 5 (1) of Council Directive 2004/113/EC a statistically verifiable risk difference cannot justify indirect discriminations by itself. The provision prohibits not only direct discrimination but also the use of differentiating factors highly correlated with one gender as the correlation leads to the inclusion of a higher gender-specific risk. Therefore only distinctions which are based on the individual insurance record can be justified as their aim is to influence future behaviour. In other cases it is necessary to separate the risk difference causally linked to the differentiating factor from the incorporated gender-specific risk difference.     

Das Recht der Versicherungsvermittlung

The European single market and its legal harmonization and integration are important for the law of insurance and particularly for the process of mediation and of the intermediaries. Especially the EU Insurance Mediation Directive (IMD 1) from 2002 stated all essential principles and rules for insurance mediators. This European directive lead to a more convergent and consistent level of regulation in the whole EU. Therefore it was interesting to analyze in a comparative session on Turkish and German law if there has been any influence of the EU regulation on insurance mediation on Turkish law. The following article gives an overview both of the similarities and differences of the Turkish and the German codifications on the law of insurance intermediaries. More than one would expect the essentials are still similar in a wide range.     

Aufsichtsrechtliche Rahmenbedingungen für die Tätigkeit von EU-Versicherern in der Türkei

In recent years the Turkish insurance market has exerted a strong appeal, especially for insurers seated in the EU, in view of its exponential growth rates and its dormant growth potential. EU insurers are, however, subject to more stringent insurance supervisory requirements when entering this insurance market, external to the EU, than when expending into other European insurance markets.     

Naturkatastrophen und Versicherungsdeckung

Natural disasters are increasing all over the world; whether by the ever-stressed climate change or by the ever-growing mega-agglomerations where people and investments can be expected to suffer more and more damage from these catastrophes.Owing to the statistics of Swiss Reinsurance for the decade 2006 to 2015, the extent of the worldwide damage caused by natural catastrophes is visible, and likewise the small insured proportion of less than one third. By contrasting with the global gross domestic product the insurance industry covers significantly 0.063% of global GDP. The greater part of 0.157% must be borne by the injured parties themselves, if the government does not enter into a “lender of the last resort”.The following section examines the limits to which the insurance industry is subject, how it can expand the cover through risk-selection and reinsurance, and which are the natural disasters that show limits in the insurance sector.Finally, the alternative is to introduce risk transfer, where the capital market acts as a risk bearer, and to joint ventures of countries forming a kind of mutual insurance association in order to obtain more cash resources for their budgets immediately after disasters, and then to provide the necessary emergency measures.     

International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.     

关注欧洲日益扩大的负利率

随着欧债危机持续发酵，主要经济体开始酝酿或实施更宽松的货币政策，欧洲货币市场资金不断从高风险工具撤出并涌入低风险工具，导致边缘国家国债收益率持续攀升，核心国家与部分非欧元区国家市场利率不断下降。文章从市场行为角度解释了欧洲出现大面积负利率的原因，指出这一现象反映出欧洲货币市场的结构性问题，欧元区货币政策传导机制出现失灵值得关注。     

Die Mitgliedschaft EG-ausländischer Versicherungsunternehmen im Sicherungsfond der Lebens- und Krankenversicherung

The present regulation of the German guarantee funds for life and health insurance offers no possibility for insurance enterprises from other memberstates of the EC to become a member of these funds. Whereas an obligatory membership for EC-foreign insurance enterprises would violate the single-license-principle for financial supervision in the EC, community law requires a possibility to become a member of the German guarantee funds on a voluntary basis. The absence of the possibility of such a voluntary membership in the German insurance supervision law leads to an inadmissible restriction of the fundamental economic freedom rights of the common market. Therefore, the German legislator has to add the possibility of a voluntary membership to his national regulation of the guarantee funds to secure an undistorted competition on the common market for insurance in the EC.     

欧洲央行的利率角色与货币政策操作

在欧洲央行整个货币政策体系中,货币市场基准利率处于核心地位。自欧元区建立以来,欧洲市场利率价格已变得高度透明。并产生了以EURIBOR．为代表的多个货币市场基准利率,与货币政策操作紧密相连,借鉴欧元区货币政策操作程序及其稳定基准利率的途径,对完善我国的货币政策操作及利率市场化稳步推进具有重要的现实意义。     

中国企业去杠杆需考虑美联储货币政策变化吗?——加息和缩表的比较分析

本文构建了一个包含货币政策微观溢出效应的两国开放经济模型,提出企业结构性去杠杆需考虑开放经济因素,并在模型中引入企业融资约束机制,利用2002年第四季度-2018年第三季度中国沪深A股1023家上市公司平衡面板数据,实证检验美联储加息和缩表两类货币政策对我国企业杠杆率的差异性影响。研究发现,美联储缩表在初期对我国企业杠杆率的影响程度较大,但不存在长期溢出效应;而加息在初期影响程度相对较小,但对我国企业杠杆率存在长期溢出影响。在溢出方向上,美联储紧缩性货币政策会显著降低我国企业杠杆率。在溢出结构上,企业融资约束越严重,美联储货币政策对我国企业杠杆率溢出效应越明显。