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  1. Aggregate Lapsation Risk
    Autor*in: Koijen, Ralph S. J.; Lee, Hae Kang; Nieuwerburgh, Stijn van
    Erschienen: June 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse rates by life insurers, we empirically document the counter-cyclicality of lapsation behavior. We construct two lapsation risk factors... mehr

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    We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse rates by life insurers, we empirically document the counter-cyclicality of lapsation behavior. We construct two lapsation risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance companies. The first is a cyclical factor that correlates with credit spreads and employment, while the second factor is a trend factor that correlates with the level of interest rates. Using a novel policy-level database from a large life insurer, we examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with higher health risk are more likely to lapse their policies during economic downturns. We explore the implications for hedging and valuation of life insurance contracts. Ignoring aggregate lapsation risk results in cross-subsidization across policyholders with different lapsation risk, and in a mispricing of life insurance policies. Our results have implications for the welfare costs of business cycles

     
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    Sprache: Englisch
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    Schriftenreihe: NBER working paper series ; no. w30187
    Schlagworte: Lebensversicherung; Risiko; Versicherung; Kapitalmarkttheorie; Business Fluctuations; Cycles; Financial Markets and the Macroeconomy; Asset Pricing; Trading Volume; Bond Interest Rates; Insurance; Insurance Companies; Actuarial Studies; Insurance
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  2. How Abundant Are Reserves? Evidence from the Wholesale Payment System
    Autor*in: Afonso, Gara; Duffie, Darrell; Rigon, Lorenzo; Shin, Hyun Song
    Erschienen: December 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Before the era of large central bank balance sheets, banks relied on incoming payments to fund outgoing payments in order to conserve scarce liquidity. Even in the era of large central bank balance sheets, rather than funding payments with abundant... mehr

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    Before the era of large central bank balance sheets, banks relied on incoming payments to fund outgoing payments in order to conserve scarce liquidity. Even in the era of large central bank balance sheets, rather than funding payments with abundant reserve balances, we show that outgoing payments remain highly sensitive to incoming payments. By providing a window on liquidity constraints revealed by payment behavior, our results shed light on thresholds for the adequacy of reserve balances. Our findings are timely, given the ongoing shrinking of central bank balance sheets around the world in response to inflation

     
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    Schriftenreihe: NBER working paper series ; no. w30736
    Schlagworte: Zahlungsverkehr; Geldpolitik; Clearing; Quantitative Lockerung; Mindestreserve; Bankenliquidität; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems; Financial Markets and the Macroeconomy; Monetary Policy; Central Banks and Their Policies; Insurance; Insurance Companies; Actuarial Studies
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  3. Financial Regret at Older Ages and Longevity Awareness
    Autor*in: Hurwitz, Abigail; Mitchell, Olivia S.
    Erschienen: November 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Older people often express regret about financial decisions made earlier in life that left them susceptible to old-age insecurity. Prior work has explored one outcome, saving regret, or peoples' expressed wish that they had saved more earlier in... mehr

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    Older people often express regret about financial decisions made earlier in life that left them susceptible to old-age insecurity. Prior work has explored one outcome, saving regret, or peoples' expressed wish that they had saved more earlier in life. The present paper extends attention to five additional areas regarding financial decisions, examining whether older Americans also regret not having insured better, claimed benefits and quit working too early, and becoming financially dependent on others. Using a controlled randomized experiment conducted on 1,764 respondents age 50+ in the Health and Retirement Study, we show that providing people objective longevity information does alter their self-reported financial regret. Specifically, giving people information about objective survival probabilities more than doubled regret expressed about not having purchased long term care, and it also boosted their regret by 2.4 times for not having purchased lifetime income. We conclude that information provision can be a potent, as well as cost-effective, method of alerting people to retirement risk

     
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  4. Dynamic Pricing Regulation and Welfare in Insurance Markets
    Autor*in: Aizawa, Naoki; Ko, Ami
    Erschienen: February 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    While the traditional role of insurers is to provide protection against idiosyncratic risks of individuals, insurers themselves face substantial uncertainties due to aggregate shocks. To prevent insurers from passing through aggregate risks to... mehr

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    While the traditional role of insurers is to provide protection against idiosyncratic risks of individuals, insurers themselves face substantial uncertainties due to aggregate shocks. To prevent insurers from passing through aggregate risks to consumers, governments have increasingly adopted dynamic pricing regulations that limit insurers' ability to change premiums over time. This paper develops and estimates an equilibrium model with dynamic pricing and firm entry and uses it to evaluate the design of dynamic pricing regulations in the U.S. long-term care insurance (LTCI) market. We find that stricter dynamic pricing regulation lowers social welfare as the benefit from improved premium stability is outweighed by the cost of reduced insurer participation. The welfare loss from stricter dynamic pricing regulation could be mitigated if the government also expands public LTCI through Medicaid

     
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    Schriftenreihe: NBER working paper series ; no. w30952
    Schlagworte: Versicherungsbeitrag; Preisregulierung; Versicherungsmarkt; Markteintritt; Wettbewerb; Wohlfahrtsanalyse; USA; Household Saving; Personal Finance; Insurance; Insurance Companies; Actuarial Studies; Health Insurance, Public and Private; Production, Pricing, and Market Structure; Size Distribution of Firms; Economics of Regulation
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  5. Target Retirement Fund
    A Variant on Target Date Funds that uses Deferred Life Annuities rather than Bonds to Reduce Risk as Retirement Approaches
    Autor*in: Shoven, John B.; Walton, Daniel
    Erschienen: January 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper evaluates a new variant of the popular target date funds used in employer-based retirement savings plans. We call this new variant a "target retirement plan." Instead of increasing the allocation to bond funds as retirement approaches, a... mehr

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    This paper evaluates a new variant of the popular target date funds used in employer-based retirement savings plans. We call this new variant a "target retirement plan." Instead of increasing the allocation to bond funds as retirement approaches, a target retirement fund gradually purchases deferred life annuities beginning at age 50. In the particular straw model target retirement fund examined in the paper, the defined contribution participant makes deferred life annuity purchases at ages 50, 52, 54, 56, 58, 60 and 62. We compare how a target retirement fund participant would fare compared with someone who stays with a traditional TDF until retirement and then buys an immediate life annuity. We examine 1,000 possible 30-year futures for stock returns, bond fund returns and Treasury interest rates. The main result from this paper is that buying a retirement annuity in advance (by accumulating deferred life annuities) is superior to sticking with a Target Date Fund until retirement and then buying an immediate annuity in most scenarios of future stock returns, interest rates and bond returns

     
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    Schriftenreihe: NBER working paper series ; no. w30817
    Schlagworte: Betriebliche Altersversorgung; Pensionskasse; Portfolio-Management; Leibrente; Altersgrenze; Altersvorsorge; USA; Portfolio Choice; Investment Decisions; Insurance; Insurance Companies; Actuarial Studies; Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination; Retirement; Retirement Policies
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  6. Fixed and Variable Longevity Annuities in Defined Contribution Plans
    Optimal Retirement Portfolios Taking Social Security into Account
    Autor*in: Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S.
    Erschienen: January 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan... mehr

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    This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan assets to boost Social Security benefits through delayed claiming. We determine that including deferred income annuities in DC accounts is welfare enhancing for all sex/education groups examined. We also show that providing access to well-designed variable deferred annuities with some equity exposure further enhances retiree wellbeing, compared to having access only to fixed annuities. Nevertheless, for the least educated, delaying claiming Social Security is preferred, whereas the most educated benefit more from using accumulated DC plan assets to purchase deferred annuities

     
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    Schriftenreihe: NBER working paper series ; no. w30853
    Schlagworte: Private Altersvorsorge; Portfolio-Management; Finanzwissen; Pensionskasse; Leibrente; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making; Portfolio Choice; Investment Decisions; Information and Market Efficiency; Event Studies; Insider Trading; Insurance; Insurance Companies; Actuarial Studies; Financial Literacy
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  7. Chinese Insurance Markets
    Developments and Prospects
    Autor*in: Fang, Hanming; Xu, Xian
    Erschienen: May 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    In this chapter, we review the development of the insurance industry in China. We provide a comprehensive discussion of its regulatory framework, major insurance segments, market structure, InsurTech, social insurance and the prospects for the future... mehr

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    In this chapter, we review the development of the insurance industry in China. We provide a comprehensive discussion of its regulatory framework, major insurance segments, market structure, InsurTech, social insurance and the prospects for the future development

     
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    Schriftenreihe: NBER working paper series ; no. w31292
    Schlagworte: Versicherungsmarkt; China; Insurance; Insurance Companies; Actuarial Studies; Government Policy and Regulation; Social Security and Public Pensions; Production, Pricing, and Market Structure; Size Distribution of Firms; Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
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  8. Universalizing the Access to Long-term Care
    Evidence from Spain
    Autor*in: Costa-Font, Joan; Jiménez-Martín, Sergi; Vilaplana Prieto, Cristina; Viola, Analía
    Erschienen: November 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Spain together with Scotland are two countries that exhibit the largest expansions in long term care (LTC) in the last two decades, universalizing subsidies and supports. This paper is part of a global effort to provide a snapshot of the trends in... mehr

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    Spain together with Scotland are two countries that exhibit the largest expansions in long term care (LTC) in the last two decades, universalizing subsidies and supports. This paper is part of a global effort to provide a snapshot of the trends in LTC use and access, as well as the financing, and organization of the LTC system compared to other higher-income countries. The passage of Act 39/2006 on the Promotion of Personal Autonomy and Care for Dependent Persons (SAAD in Spanish) on December 14th, 2006, universalized coverage for care subsidies and supports, allowing access to care conditioned only on individuals' assessment of care needs. As a consequence, LTC spending as a percentage of GDP has risen from 0.5% in 2003 to nearly 0.9% in 2019, despite private LTC insurance playing a minor role. Still today, LTC remains heavily reliant on informal care, which is now partially subsidized by a caregiving subsidy as part of SAAD. Long-term care spending in Spain amounts to between 1.27% (conservative estimates) and 1.70% (flexible estimation) of GDP. Finally, the system reveals significant gender imbalances in the provision of care, with women accounting for most caregivers in both formal (87%) and informal (58%) care

     
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    Schriftenreihe: NBER working paper series ; no. w31825
    Schlagworte: Häusliche Pflege; Altenhilfe; Pflegeheim; Gesundheitskosten; Pflegeversicherung; Spanien; Household Saving; Personal Finance; Insurance; Insurance Companies; Actuarial Studies; Government Policy; Regulation; Public Health
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  9. Evolution of Debt Financing toward Less-Regulated Financial Intermediaries in the United States
    Autor*in: Erel, Isil; Inozemtsev, Eduard
    Erschienen: February 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Nonbank lenders have been playing an increasing role in supplying debt, especially after the Great Recession. How important are the distortions in the greater regulation of banks that differentially limit risk-taking across alternative providers of... mehr

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    Nonbank lenders have been playing an increasing role in supplying debt, especially after the Great Recession. How important are the distortions in the greater regulation of banks that differentially limit risk-taking across alternative providers of credit? How might the growing role of nonbanks in credit markets affect financial stability? This selective review addresses these questions and discusses how banks and nonbanks helped provide liquidity to the nonfinancial sector during the COVID-19 pandemic shock. We argue that tighter bank regulation has created incentives for nonbanks to increase their participation in credit markets, a trend that creates concerns about financial stability

     
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    Schriftenreihe: NBER working paper series ; no. w32114
    Schlagworte: Finanzintermediation; Informeller Finanzsektor; Kreditgeschäft; Fremdkapital; Finanzmarktregulierung; USA; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; Insurance; Insurance Companies; Actuarial Studies; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies; Government Policy and Regulation
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  10. The Secular Decline of Bank Balance Sheet Lending
    Autor*in: Buchak, Greg; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit
    Erschienen: February 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    The traditional model of bank-led financial intermediation, where banks issue demandable deposits to savers and make informationally sensitive loans to borrowers, has seen a dramatic decline since 1970s. Instead, private credit is increasingly... mehr

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    The traditional model of bank-led financial intermediation, where banks issue demandable deposits to savers and make informationally sensitive loans to borrowers, has seen a dramatic decline since 1970s. Instead, private credit is increasingly intermediated through arms-length transactions, such as securitization. This paper documents these trends, explores their causes, and discusses their implications for the financial system and regulation. We document that the balance sheet share of overall private lending has declined from 60% in 1970 to 35% in 2023, while the deposit share of savings has declined from 22% to 13%. Additionally, the share of loans as a percentage of bank assets has fallen from 70% to 55%. We develop a structural model to explore whether technological improvements in securitization, shifts in saver preferences away from deposits, and changes in implicit subsidies and costs of bank activities can explain these shifts. Declines in securitization cost account for changes in aggregate lending quantities. Savers, rather than borrowers, are the main drivers of bank balance sheet size. Implicit banks' costs and subsidies explain shifting bank balance sheet composition. Together, these forces explain the fall in the overall share of informationally sensitive bank lending in credit intermediation. We conclude by examining how these shifts impact the financial sector's sensitivity to macroprudential regulation. While raising capital requirements or liquidity requirements decreases lending in both early (1960s) and recent (2020's) scenarios, the effect is less pronounced in the later period due to the reduced role of bank balance sheets in credit intermediation. The substitution of bank balance sheet loans with debt securities in response to these policies explains why we observe only a fairly modest decline in aggregate lending despite a large contraction of bank balance sheet lending. Overall, we find that the intermediation sector has undergone significant transformation, with implications for macroprudential policy and financial regulation

     
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  11. Where Do Banks End and NBFIs Begin?
    Autor*in: Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce
    Erschienen: April 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    In recent years, assets of non-bank financial intermediaries (NBFIs) have grown significantly relative to those of banks. These two sectors are commonly viewed either as operating in parallel, performing different activities, or as substitutes,... mehr

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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    In recent years, assets of non-bank financial intermediaries (NBFIs) have grown significantly relative to those of banks. These two sectors are commonly viewed either as operating in parallel, performing different activities, or as substitutes, performing substantially similar activities, with banks inside and NBFIs outside the perimeter of banking regulation. We argue instead that NBFI and bank businesses and risks are so interwoven that they are better described as having transformed over time rather than as having migrated from banks to NBFIs. These transformations are at least in part a response to regulation and are such that banks remain special as both routine and emergency liquidity providers to NBFIs. We support this perspective as follows: (i) The new and enhanced financial accounts data for the United States ("From Whom to Whom") show that banks and NBFIs finance each other, with NBFIs especially dependent on banks; (ii) Case studies and regulatory data show that banks remain exposed to credit and funding risks, which at first glance seem to have moved to NBFIs, and also to contingent liquidity risk from the provision of credit lines to NBFIs; and (iii) Empirical work confirms bank-NBFI linkages through the correlation of their abnormal equity returns and market-based measures of systemic risk. We discuss some potential regulatory responses, including treating the two sectors holistically; recognizing the implications for risk propagation and amplification; and exploring new ways to internalize the costs of systemic risk

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: NBER working paper series ; no. w32316
    Schlagworte: Informeller Finanzsektor; Finanzintermediation; Bank; Branchenentwicklung; USA; Financial Crises; General; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; Insurance; Insurance Companies; Actuarial Studies; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies; Government Policy and Regulation; Other
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  12. Firm Accommodation After Disability
    Labor Market Impacts and Implications for Social Insurance
    Autor*in: Aizawa, Naoki; Mommaerts, Corina; Rennane, Stephanie L.
    Erschienen: December 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper studies the labor market impacts of firm accommodation decisions and assesses implications for the design of social insurance for workplace disability. We leverage a unique workers' compensation (WC) program in Oregon that provides wage... mehr

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    Universitätsbibliothek Freiburg
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    This paper studies the labor market impacts of firm accommodation decisions and assesses implications for the design of social insurance for workplace disability. We leverage a unique workers' compensation (WC) program in Oregon that provides wage subsidies to firms for accommodating injured workers. Exploiting rich administrative data and a policy change to the wage subsidy, we show that accommodation rates respond to the subsidy rate and that receipt of accommodation leads to a significant increase in employment and earnings a year later. To explore welfare implications, we develop and estimate a frictional labor market model of accommodation as a form of human capital investment. Worker turnover and imperfect experience rating in WC lead to under-accommodation and inefficient labor market outcomes after workplace disability. Counterfactual simulations show that subsidizing accommodation not only improves long-run labor market outcomes of workers experiencing work-related disability but also leads to welfare gains for most workers

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Schriftenreihe: NBER working paper series ; no. w31978
    Schlagworte: Behinderte; Rehabilitation; Lohnsubvention; Behindertenpolitik; Soziale Sicherheit; Sozialversicherung; Schätzung; Wohlfahrtsanalyse; Oregon; USA; Insurance; Insurance Companies; Actuarial Studies; General; Economics of the Elderly; Economics of Disability; Non-Labor Market Discrimination; Human Capital; Skills; Occupational Choice; Labor Productivity; Safety; Job Satisfaction; Related Public Policy
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