On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes

Bohnert, Alexander; Gatzert, Nadine; Jørgensen, Peter Løchte

doi:10.1016/j.insmatheco.2014.11.003

Cited by 22 publications

(15 citation statements)

References 27 publications

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“…The policy reserves PR t at time t consist of policy reserves for annuities PR A t and for endowments PR E t , as in Bohnert et al (2015), where PR A t and PR E t already comprise the respective current ZZR. Additionally, we assumed, as in Bohnert et al (2018), that the life insurer was already declared to withdraw S f P t + + D t + from the buffer B t immediately after the balance sheet date at time t + .…”

Section: Time Tmentioning

confidence: 99%

“…These mortality tables are first-order mortalities including a safety loading. Therefore, to more realistically model the deaths in the time between t + and (t + 1) − , we followed Bohnert et al (2015) and used the aforementioned tables' underlying best estimates, which are second-order mortalities without safety loadings. We then denoted the set of policyholders that died between t and t + 1 by T A t+1 if they had annuities and T E t+1 if they had endowments.…”

Section: Time T +mentioning

confidence: 99%

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Dealing with Low Interest Rates in Life Insurance: An Analysis of Additional Reserves in the German Life Insurance Industry

Eckert

2019

JRFM

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Interest rates have been very low for several years, which is particularly challenging for life insurers. Since 2001, German life insurers have had to set an additional reserve due to low interest rates to ensure the protection of policyholders. However, the method introduced at that time to calculate these reserves was criticized, therefore, the German Federal Ministry of Finance replaced it with a new approach. In this article, we investigated the effects of the different methods on a typical German life insurer in various future interest rate scenarios and from various perspectives. For this purpose, we modelled such a life insurer holistically, considered its asset liability management and projected its future development in different interest rate scenarios using simulation techniques. Taking into account dependencies between assets, liabilities and interest rates, we analyzed and discussed our results from the life insurer's, equity holders', policyholders' and regulators' perspectives. The results show that the new method eliminated the weaknesses of the previous one and seems to be a suitable alternative to determine the additional reserve.

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Section: Time Tmentioning

confidence: 99%

Section: Time T +mentioning

confidence: 99%

Dealing with Low Interest Rates in Life Insurance: An Analysis of Additional Reserves in the German Life Insurance Industry

Eckert

2019

JRFM

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“…In this case, indicators for the analyzable group of enterprises are arranged as they rise and allocated into the necessary number of groups (4)(5)(6). Enterprises in Group 1 (the lowest reliability) do not receive any points for his indicator, the following group receives one point, and the others are treated likewise.…”

Section: The Frequency Of the Event Is Expressed As P V (Z)mentioning

confidence: 99%

“…Researchers also address practical issues of investment projects and propose mechanisms and mathematical tools to implement complex innovative projects for manufacturing products with a long life-cycle and choose the most promising strategy for their manufacturing [3,4].…”

Section: Introductionmentioning

confidence: 99%

Model Tools to Assess the Production and Financial Reliability of Knowledge-Intensive and High-Tech Enterprises

Khrustalev¹,

Khrustalev²

2017

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Importance The article considers the problems of evaluating the production and financial reliability of enterprises involved in high-tech project implementation for development and manufacture of innovative products. Objectives To accelerate progress in the knowledge-intensive and high-technology sphere of production, it is crucial to choose companies with the highest reliability indices as potential performers of innovative projects. It requires new integrated and accurate tools to assess financial-economic and scientific-production reliability of a modern enterprise. Methods The offered methodology and tools rely on the complex use of modified methods of expert assessment and audit of all corporate operations. We suggest using several indicators of enterprises, for which experts give a clear assessment of their reliability. These indicators are easy to understand and adequately reflect the status of the analyzed company. Results We developed a method providing precise estimates of reliability even with a limited number of initial data. During the evaluation process, we considered financial, economic, scientific and production components of enterprise's reliability. The proposed models and methods enable to choose the most reliable company to implement innovative projects, to be included into integration structures, and to grant loans. Conclusions and RelevanceThe developed methodological approach and model make it possible to integrate quantitative indicators of practical activities of individual company, as well as qualitative indicators of its efficiency from the standpoint of reliability of achieving the targets.

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“…Additional conditions result in the need for reconsideration of the estimated costs of economic protection (including insurance services, as compensation and risks coverage steps) and accounting for relevant indicators when estimating the costs of state programs (Bohnert, A. et al, 2015). Yet, in order to improve performance, we need to analyze risks and threats, emerging (with certain degree of certainty) in the course of implementation of space programs and projects (Dadalko, W.A.…”

mentioning

confidence: 99%

Economic Protection of Secure Operation and Development of Companies in the Rocket and Space Industry

Batkovskiy¹,

Makarov²,

Семенова³

et al. 2015

MJSS

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On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes

Cited by 22 publications

References 27 publications

Dealing with Low Interest Rates in Life Insurance: An Analysis of Additional Reserves in the German Life Insurance Industry

Dealing with Low Interest Rates in Life Insurance: An Analysis of Additional Reserves in the German Life Insurance Industry

Model Tools to Assess the Production and Financial Reliability of Knowledge-Intensive and High-Tech Enterprises

Economic Protection of Secure Operation and Development of Companies in the Rocket and Space Industry

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