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Alexander Braun
Title
Prof. Dr.
Last Name
Braun
First name
Alexander
Email
alexander.braun@unisg.ch
Phone
+41 71 224 3653
Now showing
1 - 5 of 5
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PublicationStock vs. Mutual Insurers: Who Should and Who Does Charge More?We contribute to the literature by developing a normative theory of the relationship between stock and mutual insurers based on a contingent claims framework. To consistently price policies provided by firms in these two legal forms of organization, we extend the work of Doherty and Garven (1986) to the mutual case, thus ensuring that the formulae for the stock insurer are nested in our more general model. This set-up allows us to separately consider the ownership and policyholder stakes included in the mutual insurance premium and explicitly takes into account the right to charge additional premiums in times of financial distress, restrictions on the ability of members to realize the value of their equity stake, as well as relevant market frictions. Based on a numerical implementation of our model, we are able to show that, for the premiums of stock and mutuals insurers to be equal, the latter would need to hold comparatively less equity capital. We then evaluate panel data for the German motor liability insurance sector and demonstrate that observed premiums are not consistent with our normative findings. The combination of theory and empirical evidence is not compatible with full competition in insurance markets and suggests that policies offered by stock insurers are overpriced relative to policies of mutuals. Consequently, we suspect considerable wealth transfers between the stakeholder groups.Type: journal articleJournal: European Journal of Operational ResearchVolume: 242Issue: 3
Scopus© Citations 15 -
PublicationA Traffic Light Approach to Solvency Measurement of Swiss Occupational Pension FundsIn this paper, we combine a stochastic pension fund model with a traffic light approach to solvency measurement of occupational pension funds in Switzerland. Assuming normally distributed asset returns, a closed-form solution can be derived. Despite its simplicity, we believe the model comprises the essential risk sources needed in supervisory practice. Owing to its ease of calibration, it is well suited for a regulatory application in the fragmented Swiss market, keeping costs of solvency testing at a minimum. We calibrate and implement the model for a small sample of ten Swiss pension funds in order to illustrate its application and the derivation of traffic light signals. In addition, a sensitivity analysis is conducted to identify important drivers of the shortfall probabilities for the traffic light conditions. Although our analysis concentrates solely on Switzerland, the approach could also be applied to similar pension systems.Type: journal articleJournal: Geneva Papers on Risk and Insurance - Issues and PracticeVolume: 36Issue: 2DOI: 10.1057/gpp.2011.3
Scopus© Citations 8 -
PublicationAufsicht über die berufliche Vorsorge: Internationaler Vergleich(Bundesamt für Sozialversicherungen (BSV), 2011)
;Rymaszewski, Przemyslaw ;Nussbaum, WernerZeier, AngelaType: bookIssue: Forschungsbericht Nr. 12/10 -
PublicationOn the Relationship between Mutual and Stock Insurance Premiums(Institut für Versicherungswirtschaft (St. Gallen), 2011-05-05)
;Rymaszewski, PrzemyslawType: newspaper articleJournal: I.VW Management-InformationIssue: 2 -
PublicationTowards an Efficient Regulation of Pension Funds in Switzerland - A Solvency Test with Traffic Light Signal(Institut für Versicherungswirtschaft, 2010-05-01)
;Rymaszewski, PrzemyslawType: newspaper articleJournal: I.VW Management-InformationIssue: 2