Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Filtern nach
Aktive Filter
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 3 von 3.

  1. Life insurance convexity
    Autor*in: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Erschienen: [2021]
    Verlag:  International Center for Insurance Regulation, Goethe University Frankfurt, [Frankfurt am Main]

    Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a guaranteed amount before maturity. These options move toward the money when interest rates rise. Using data on German life insurers, we... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 379
    Fernleihe:
    keine Fernleihe

     

    Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a guaranteed amount before maturity. These options move toward the money when interest rates rise. Using data on German life insurers, we estimate that a 1 percentage point increase in interest rates raises surrender rates by 17 basis points. We quantify the resulting liquidity risk in a calibrated model of surrender decisions and insurance cash flows. Simulations predict that surrender options can force insurers to sell up to 3% of their assets, depressing asset prices by 90 basis points. The e↵ect is amplified by the duration of insurers' investments, and its impact on the term structure of interest rates depends on life insurers' investment strategy.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/247672
    Schriftenreihe: ICIR working paper series ; no. 42 (2021)
    Schlagworte: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  2. Life insurance convexity
    Autor*in: Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut
    Erschienen: March 2022
    Verlag:  ECONtribute, Bonn

    Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 711
    Fernleihe:
    keine Fernleihe

     

    Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document for the German life insurance sector. Using a calibrated model, we estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per annum. The resulting price impact depends on insurers' investment behavior. Forced asset sales are amplified by insurers' long-term investments but mitigated by reducing the guarantees on surrender values.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/262098
    Auflage/Ausgabe: This version: March 22, 2022
    Schriftenreihe: ECONtribute discussion paper ; no. 154
    Schlagworte: Life Insurance; Liquidity Risk; Interest Rates; Fire Sales; Systemic Risk
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  3. Life insurance convexity
    Autor*in: Grochola, Nicolaus; Gründl, Helmut; Kubitza, Christian
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document empirically by exploiting plausibly exogenous variation in monetary policy. Using a calibrated model, we then estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per year. We show that these fire sales are fueled by surrender value guarantees and insurers' long-term investments.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289961141
    Weitere Identifier:
    hdl: 10419/278661
    Schriftenreihe: Working paper series / European Central Bank ; no 2829
    Schlagworte: Life Insurance; Liquidity Risk; Interest Rates; Surrender Options; Systemic Risk
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen