Das stochastische Re-Reserving

Next to premium risk, reserve risk is an essential part of underwriting risk for property and casualty insurers. Up to now, the literature on non-life reserve risk for the most part only considered an ultimative point of view, which means that the reserve risk uncertainty would be quantified up to final settlement. In the context of the new Solvency II project, as well as against the background of internal models in a several year context, for now an intensified discussion about a one-year horizon has occurred. Thereby, the reserve risk uncertainty would only be quantified up to a one-year claims development result. In this paper we would like to present a simulation method, called stochastic Re-Reserving for modelling the reserve risk on a yearly basis. In addition to that, we would like to make a paradigmatic comparison between stochastic Re-Reserving and an analytical approach, called claims development result method (see Merz and Wuethrich, Modelling the claims development result for solvency purposes. In: CAS E-Forum, pp. 542–568, 2008).     

Social pressure,uncertainty, and cooperation

We analyse the role of uncertainty in a sequential game where players have to decide whether to contribute to a public project or not. A player's payoff may depend on his belief about the other player's action which allows us to model social pressure. Using the theory of psychological games, we show that the players' propensity to choose an individually costly action such as cooperation in a public project may increase if there is some uncertainty about who has cooperated before. A central agency, e.g. the government, can induce incomplete information by using a randomization policy, thus crowding in private contributions. Received: November 16, 1998 / Accepted: May 31, 1999     

Market Organisation and Trading Relationships

In this paper we give a theoretical model of buyers' behaviour on a market for a perishable good where no prices are posted. We show that if buyers learn from their own previous experience there is a sharp division between those who learn to be loyal to certain sellers and those who continue to 'shop around'. This feature remains in more general models which are simulated and is consistent with empirical data from the Marseille fish market.     

Triggers of HR outsourcing decisions – an empirical analysis of German firms

This paper takes an explanatory approach to the triggers of Human Resource (HR) outsourcing decisions and evaluates them empirically. Our data show that many German firms have never explicitly considered outsourcing of HR functions. Obviously, explicit outsourcing decisions do not come into being automatically but have to be triggered. We analyze theoretically and empirically which triggers are relevant. In our definition, HR outsourcing includes a broad range of internal HR functions and the respective, externally procured personnel services (e.g., temporary agency work, payroll accounting, interim management, outplacement services, HR consulting, placement services and others).     

Solving the multi-country real business cycle model using a Smolyak-collocation method

We describe a sparse-grid collocation method to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method can be in applications by computing the non-linear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy, the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with up to 10 countries (i.e., up to 20 continuous-valued state variables).