Empirische Überprüfung des Modells zur Ermittlung risikospezifischer Versicherungsprämien für die Betriebliche Altersvorsorge

Grünbichler, Andreas

doi:10.1007/978-3-322-87977-6_7

Cited by 2 publications

(4 citation statements)

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“…The insurance premium for an average SME would increase by 195 percent, while the 30 largest firms would contribute 35 percent less than under the uniform pricing regime. Grünbichler (1990) finds very similar results for a sample of 22 corporations. For two‐thirds of the firms he calculates substantially lower premiums.…”

Section: Risk‐adjusted Premiumsmentioning

confidence: 58%

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Empirical Risk Analysis of Pension Insurance: The Case of Germany

Gerke¹,

Mager

Reinschmidt

et al. 2008

J of Risk & Insurance

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With this paper we seek to contribute to the literature on pension insurance systems.The financial literature tends to focus exclusively on the US pension insurance system. This is the first major empirical study to address the German occupational pension insurance (PSVaG) plan in Germany.The study is based on a Merton-type one-factor model, in which we determine the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge widely, a marginal risk contribution method would produce less pronounced differences compared to the current, uniform pricing plan.

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Section: Risk‐adjusted Premiumsmentioning

confidence: 58%

“…In Germany, the PSVaG has almost completely been ignored in financial research. The only empirical study has been carried out by Grünbichler (1990), who exemplarily calculated risk‐adjusted insurance premiums for a sample of 22 large listed corporations using a Merton‐type approach (Merton, 1973, 1977).…”

Section: Introductionmentioning

confidence: 99%

Empirical Risk Analysis of Pension Insurance: The Case of Germany

Gerke¹,

Mager

Reinschmidt

et al. 2008

J of Risk & Insurance

View full text Add to dashboard Cite

show abstract

“…Firms with a turnover of less than €50 million. Grünbichler (1991) finds very similar results for a sample of 22 corporations. For two-thirds of the firms he calculates substantially lower premiums.…”

mentioning

confidence: 58%

“…In Germany, the PSVaG has almost been completely ignored in financial research. The only empirical study has been carried out by Grünbichler (1991), who exemplarily calculated risk adjusted insurance premiums for a sample of 22 large listed corporations using a Merton-type approach (Merton 1973(Merton , 1977. He found a highly skewed distribution of risk-based insurance premiums.…”

Section: Empirical Risk Analysis Of Pension Insurance -The Case Of Germany* 1 1 Introductionmentioning

confidence: 99%