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Nadine Gatzert
Title
Prof. Dr.
Last Name
Gatzert
First name
Nadine
Email
nadine.gatzert@unisg.ch
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1 - 10 of 58
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PublicationEconomies of Scale in European Life InsurancePurpose – Due to the continuing low interest rate environment as well as the increase in acquisition costs, price transparency, cost transparency and competition with banks, the cost of life insurance becomes increasingly important for customers, insurers and shareholders. Against this background, the purpose of this paper is to study the development of insurers’ economies of scale in regard to administrative costs for four of the largest European life insurance markets. Design/methodology/approach – The analysis on economies of scale is based on a comprehensive set of 477 life insurers in Germany, Italy, Spain and the UK, yearly data between 2000 and 2014, and regression calculations that are based on 4,855 observations. Findings – The results show that economies of scale exist for all considered markets and for most of the considered years. However, the extent of economies of scale varies considerably across countries. Originality/value – Overall, the existing academic literature on costs and corresponding economies of scale in life insurance primarily deals with analyses of total costs instead of administrative costs, a single year or a single market. This paper contributes to the existing literature by conducting an analysis of recent market dynamics and economies of scale in regard to administrative costs for the period from 2000 and 2014 for four of the largest European life insurance markets for which the respective ata were available (Germany, Italy, Spain and the UK) and 477 life insurers in total. This is done by means of log-log transformation of premiums and costs and a fixed effects model based on these transformed figures for 4,855 observations. In addition, for each market, the authors analyze the development of administrative costs for a total of 477 insurers.Type: journal articleJournal: The journal of risk finance : JRFVolume: 19Issue: 2
Scopus© Citations 2 -
PublicationType: journal articleJournal: European Actuarial JournalVolume: 2Issue: 7
Scopus© Citations 9 -
PublicationModeling Operational Risk Incorporating Reputation Risk An Integrated Analysis for Financial FirmsIt has been shown in the empirical literature that operational losses of financial firms can cause severe reputational losses, which, however, are typically not taken into account when modeling and assessing operational risk. The aim of this paper is to fill this gap by assessing the consequences of operational risk for a financial firm including reputational losses. Toward this end, we extend current operational risk models by incorporating reputation losses. We propose three different models for reputation risk: a simple deterministic approach, a stochastic model using distributional assumptions, and an extension of the second model by taking into account a firm’s ability to deal with reputation events. Our results emphasize that reputational losses can by far exceed the original operational loss and that neglecting reputational losses may lead to a severe underestimation of certain operational risk types and especially fraud events.Type: journal articleJournal: Insurance: Mathematics and EconomicsVolume: 72
Scopus© Citations 19 -
PublicationDeterminants of Policy Risks of Renewable Energy Investments( 2017)
Scopus© Citations 40 -
PublicationConvergence of Capital and Insurance Markets Consistent Pricing of Index-Linked Catastrophic Loss InstrumentsIndex-linked catastrophe loss instruments have become increasingly attractive for investors and play an important role in risk management. Their payout is tied to the development of an underlying industry loss index (reflecting losses from natural catastrophes) and may additionally depend on the ceding company’s loss. Depending on the instrument, pricing is currently not entirely transparent and does not assume a liquid market. We show how arbitrage-free and market-consistent prices for such instruments can be derived by overcoming the crucial point of tradability of the underlying processes. We develop suitable approximation and replication techniques and—based on these—provide explicit pricing formulas using cat bond prices. Finally, we use empirical examples to illustrate the suggested approximations.
Scopus© Citations 8 -
PublicationAssessing Inflation Risk in Non-Life Insurance( 2016-01)
Scopus© Citations 6 -
PublicationEnhanced Annuities Drivers and Barriers of Supply and DemandEnhanced annuities pay higher pensions than standard annuities in case of a reduced life expectancy and are very prominent in the U.K. insurance market but not in other markets. The aim of thispaperistostudydriversofandbarrierstosupplyanddemandofenhancedannuitiesaswellas potential market implications of their introduction, including implications for the standard immediate and deferred annuity markets, annuitisation rates and the so-called cannibalisation effect, which may arise within the portfolio of standard annuities because of the enhanced annuity offering. The analysis is based on a comprehensive literature review and an empirical survey in the German life insurance market, which is also intended to offer insight for other industrialised countries with a similar situation in regard to the demographic development and an increasing need for private pensions.Type: journal articleJournal: The Geneva Papers on Risk and Insurance - Issues and PracticeVolume: 1Issue: 41DOI: 10.1057/gpp.2015.21
Scopus© Citations 11 -
PublicationEvaluating Investments in Renewable Energy Projects under Policy RisksThe considerable amount of required infrastructure and renewable energy investments expected in the forthcoming years also implies an increasingly relevant contribution of private and institutional in- vestors. In this context, especially regulatory and policy risks have been shown to play a major role for investors when evaluating investments in renewable energy and should thus also be taken into account in risk assessment and when deriving risk-return profiles. In this paper, we provide a stochastic model framework to quantify policy risks associated with renewable energy investments (e.g. are retospective reduction of a feed-in tariff), there by also taking into account energy price risk, resource risk, and inflation risk. The model is illustrated by means of simulations and scenario analyses, and it makes use of expert estimates and fuzzy set theory for quantifying policy risks. Our numerical results for a portfolio of on shore wind farms in Germany and France show that policy risk can strongly impact risk-return profiles, and that cross-country diversification effects can considerably decrease the overall risk for investors.Type: journal articleJournal: Energy PolicyVolume: 95Issue: 1
Scopus© Citations 76 -
PublicationCritical Illness Insurances Challenges and Opportunities for InsurersSince the first introduction of critical illness insurance in 1983 in South Africa, the product has successfully spread to some insurance markets, especially in Asian and Anglophone countries, but market penetration remains low in other countries. For this reason and because of the increasing relevance of dread diseases, the aim of this article is to provide a first comprehensive overview of challenges and opportunities associated with critical illness products for insurers. Toward this end, we first present the various product designs, as well as the developments that have taken place within the market before comparing this form of coverage to alternative insurance products in order to better assess the market potential. Based on these assessments, we thoroughly discuss the major challenges and opportunities within the market from the insurer’s perspective.Type: journal articleJournal: Risk Management and Insurance ReviewVolume: 18Issue: 2DOI: 10.1111/rmir.12033
Scopus© Citations 10 -
PublicationDeterminants and Value of Enterprise Risk Management Empirical Evidence from GermanyThe development of an enterprise risk management (ERM) program enables companies to manage corporate risks in a holistic manner as opposed to the silo-based perspective in traditional risk management frameworks. One main question in this regard is what factors drive the implementation of an ERM system in companies and whether ERM programs can actually create value once implemented. This article addresses these questions by conducting a com- parative assessment of empirical evidence from the literature regarding the determinants of ERM and its value once implemented. In doing so we are able to illustrate differences in model specifications and the underlying data. Our literature study shows that particularly the company size and the level of in- stitutional ownership are significantly positively related to the implementation of ERM in most empirical studies and, furthermore, that ERM generally has a (significant) positive impact on corporate value and performance (to a differ- ent extent and depending on the focus of the studies). However, geographic and/or industrial restrictions regarding the underlying data sets partly limit the generalization of the empirical results.Type: journal articleJournal: Risk Management and Insurance ReviewVolume: 18Issue: 1DOI: 10.1111/rmir.12028
Scopus© Citations 90