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Florian Schreiber
Former Member
Title
Dr.
Last Name
Schreiber
First name
Florian
Phone
+41 71 224 3652
Now showing
1 - 10 of 43
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PublicationLimited Information and its Impact on a Policyholder's Optimal Choice on Deductibles(Institut für Versicherungswirtschaft (I.VW-HSG), 2022)
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PublicationType: journal articleJournal: Risk Management and Insurance Review
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PublicationType: journal articleJournal: The Geneva Papers on Risk and Insurance - Issues and Practice
Scopus© Citations 2 -
PublicationPerformance Measurement in the Life Insurance Industry: An Asset-Liability PerspectiveEstablished risk-adjusted investment performance measures such as the Sharpe, the Sortino or the Calmar Ratio have been developed with an exclusive focus on the mutual and hedge fund industries. Consequently, they are less suited for liability-driven investors such as life insurance companies, whose portfolio choice is materially affected by the substantial interest rate sensitivity of their long-term contractual obligations. In order to tackle this limitation, we introduce the Asset-Liability Sharpe Ratio, which is theoretically motivated, computable based on publicly-available data, incentive compatible, and relevant. Hence, it should be a valuable new tool for performance assessment in the life insurance industry.Type: journal articleJournal: Journal of Fixed IncomeVolume: 30Issue: 3
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PublicationType: journal articleJournal: European Journal of Operational ResearchVolume: 292Issue: 2
Scopus© Citations 3 -
PublicationType: journal articleJournal: Geneva Papers on Risk and Insurance - Issues and PracticeVolume: 43Issue: 3
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PublicationPortfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard FormulaWe optimize a life insurance company's asset allocation in the context of classical portfolio theory when the firm needs to adhere to the market risk capital requirements of Solvency II. The discussion starts with a brief review of the standard formula and the introduction of a parsimonious partial internal model. Subsequently, we estimate empirical risk–return profiles for the main asset classes held by European insurers and run a quadratic optimization program to derive nondominated frontiers with budget, short-sale, and investment constraints. We then compute the capital charges under both solvency models and identify those efficient portfolio compositions that are permitted for an exogenously given amount of equity. Finally, we consider a systematically selected set of inefficient portfolios and check their admissibility, too. Our results show that the standard formula suffers from severe shortcomings that interfere with economically sensible asset management decisions. Therefore, the introduction of Solvency II in its current form is likely to have an adverse impact on certain parts of the European insurance sector.Type: journal articleJournal: Journal of Risk and InsuranceVolume: 84Issue: 1DOI: 10.1111/jori.12077
Scopus© Citations 39 -
PublicationType: journal articleJournal: Annals of Operations ResearchVolume: 254Issue: 1-2
Scopus© Citations 1 -
PublicationOn Consumer Preferences and the Willingness to Pay for Term Life InsuranceWe run a choice-based conjoint analysis for term life insurance with a sample of 2,017 German consumers, for which data has been collected through web-based experiments. Individual-level part-worth utility profiles are estimated by means of a hierarchical Bayes model. Drawing on the elicited preference structures, we then compute relative attribute importances and different willingness to pay measures. In addition, we present comprehensive simulation results for a realistic competitive setting that allows us to assess market expansion as well as product switching effects. Brand, critical illness cover, and medical underwriting turn out to be the most important nonprice product attributes. Hence, if a policy comprises the favored specifications of those, customers are prepared to accept substantial markups in the monthly premium. Furthermore, preferences vary considerably across the sample, implying that product differentiation is well-suited to avoid price pressure and grow market shares. Yet, we also document a large fraction of individuals that exhibit no willingness to pay for term life insurance at all, presumably due to the absence of a need for mortality risk coverage. Finally, based on estimated demand sensitivities and a set of cost assumptions, it is shown that insurers require an in-depth understanding of preferences to identify the profit-maximizing price.Type: journal articleJournal: European Journal of Operational ResearchVolume: 253Issue: 3
Scopus© Citations 27 -
PublicationSolvency II's Market Risk Standard Formula: How Credible is the Proclaimed Ruin Probability?(Western Risk and Insurance Association (WRIA), 2015-03-01)