Leibniz Institute for Financial Research SAFE Working Paper Series最新文献

筛选

英文中文

Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation 偿付能力监管下低利率环境下互联寿险公司最优资产配置

Leibniz Institute for Financial Research SAFE Working Paper Series Pub Date : 2014-12-01 DOI: 10.2139/ssrn.2593032

T. Niedrig

{"title":"Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation","authors":"T. Niedrig","doi":"10.2139/ssrn.2593032","DOIUrl":"https://doi.org/10.2139/ssrn.2593032","url":null,"abstract":"I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment strategies of life insurance companies. Especially for life insurance companies, the current low interest rate environment poses a key risk since declining returns on investments jeopardize the guaranteed return on life insurance contracts, a core component of traditional life insurance contracts in several European countries. I consider a contingent claim framework with a direct financial connection between banks and life insurers via bank bonds. The results indicate that life insurers' demand for bank bonds increases over the mid-term but ultimately declines in the long-run. Since life insurers are the largest purchasers of bank bonds in Europe, banks could lose one of their main funding sources. In addition, I show that shareholder value driven life insurers' appetite for risk increases when the gap between asset return and liability growth diminishes. To check the robustness of the findings, I calibrate a prolonged low interest rate scenario. The results show that the insurer's risk appetite is even higher when interest rates remain persistently low. A sensitivity analysis regarding industry-specific regulatory safety levels reveals that contagion between bank and life insurer is driven by the insurers' demand for bank bonds which itself depends on the regulatory safety level of banks.","PeriodicalId":158556,"journal":{"name":"Leibniz Institute for Financial Research SAFE Working Paper Series","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116305805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

Monetary Policy and Risk Taking 货币政策与风险承担

Leibniz Institute for Financial Research SAFE Working Paper Series Pub Date : 2013-01-01 DOI: 10.2139/ssrn.2230335

Ignazio Angeloni, Ester Faia, Marco Lo Duca

引用次数: 195

首页上一页