Archive:: Applied and Computational Mathematics:: Science Publishing Group

Volume 5, Issue 1, February 2016

Identification of Company-Specific Stress Scenarios in Non-Life Insurance

Wiltrud Weidner, J.-Matthias Graf von der Schulenburg

Issue: Volume 5, Issue 1-1, February 2016

Pages: 1-13

Received: 18 April 2015

Accepted: 23 April 2015

Published: 10 June 2015

DOI: 10.11648/j.acm.s.2016050101.11

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This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics

Abstract: This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scena... Show More

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Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance

Tim Linderkamp

Issue: Volume 5, Issue 1-1, February 2016

Pages: 14-20

Received: 26 May 2015

Accepted: 27 May 2015

Published: 10 June 2015

DOI: 10.11648/j.acm.s.2016050101.12

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This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics

Abstract: This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank... Show More

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Pensions and Growth: A Cointegration Analysis

Miguel Rodriguez Gonzalez, Christoph Schwarzbach

Issue: Volume 5, Issue 1-1, February 2016

Pages: 21-35

Received: 7 May 2015

Accepted: 1 June 2015

Published: 3 July 2015

DOI: 10.11648/j.acm.s.2016050101.13

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This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics

Abstract: This article investigates the long-term relationship between economic growth and old-age provision using time series analysis, particularly the techniques of cointegration. The neoclassical growth model by Solow (1956) provides atheoretical basis for the empirical analysis. The results are based onquarterly data from 1970 to 2013 for the US-economy... Show More

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