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Florian Schreiber
Former Member
Title
Dr.
Last Name
Schreiber
First name
Florian
Phone
+41 71 224 3652
9 results
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Item type:Publication, Limited Information and its Impact on a Policyholder's Optimal Choice on Deductibles(Institut für Versicherungswirtschaft (I.VW-HSG), 2022); ; When determining the optimal deductible level for an insurance policy, a policyholder faces two sources of uncertainty. First, uncertainty arises from the randomness of future losses. Second, the opacity of the functional forms of the policyholder’s loss distribution and utility function also contributes to uncertainty. While the academic literature focuses on the former, we additionally include limited information on these functional forms in our model setting to reflect real-world decision making. That is, we draw on an expected utility framework and analyze the relationship between optimal deductible levels under limited and full information. We also derive several decision rules under limited information in order to approximate the optimal deductible level under full information. To support real-world decision making, these rules could be easily implemented in an online decision aid.Type:journal articleJournal:I.VW-HSG Working Papers on Risk and InsuranceIssue:257 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Pricing strategies in the German term life
insurance market: An empirical analysisType:journal articleJournal:Risk Management and Insurance ReviewScopus© Citations 4 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Investment guarantees in financial products: an analysis of consumer preferencesType:journal articleJournal:The Geneva Papers on Risk and Insurance - Issues and PracticeScopus© Citations 3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Performance 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 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Sometimes more, sometimes less: Prudence and the diversification of risky insurance coverageType:journal articleJournal:European Journal of Operational ResearchVolume:292Issue:2Scopus© Citations 4 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Limited Information and its Impact on a Policyholder's Optimal
Choice on Deductibles(2022); ; When determining the optimal deductible level for an insurance policy, a policyholder faces two sources of uncertainty. First, uncertainty arises from the randomness of future losses. Second, the opacity of the functional forms of the policyholder's loss distribution and utility function also contributes to uncertainty. While the academic literature focuses on the former, we additionally include limited information on these functional forms in our model setting to reflect real-world decision making. That is, we draw on an expected utility framework and analyze the relationship between optimal deductible levels under limited and full information. We also derive several decision rules under limited information in order to approximate the optimal deductible level under full information. To support real-world decision making, these rules could be easily implemented in an online decision aid.Type:conference paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Limited Information and its Impact on a Policyholder's Optimal Choice on Deductibles(2022); ; When determining the optimal deductible level for an insurance policy, a policyholder faces two sources of uncertainty. First, uncertainty arises from the randomness of future losses. Second, the opacity of the functional forms of the policyholder's loss distribution and utility function also contributes to uncertainty. While the academic literature focuses on the former, we additionally include limited information on these functional forms in our model setting to reflect real-world decision making. That is, we draw on an expected utility framework and analyze the relationship between optimal deductible levels under limited and full information. We also derive several decision rules under limited information in order to approximate the optimal deductible level under full information.Type:conference paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Limited Information and its Impact on a Policyholder's Optimal Choice on Deductibles(2020); ; When determining the optimal deductible level for an insurance policy, a policyholder faces two sources of uncertainty. First, uncertainty arises from the randomness of future losses. The opacity of the functional forms of the policyholder's loss distribution as well as her utility function, on the other hand, causes a second kind of uncertainty. While the academic literature focuses on the former, we additionally incorporate limited information on these functional forms. That is, we draw on an expected utility framework and analyze the relationship between optimal deductible levels under limited and full information. Further, we derive heuristics under limited information in order to approximate the optimal deductible level under full information.Type:conference paper