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The role of frictional costs for insurance pricing and insurer default risk

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  • Schlütter, Sebastian
Abstract
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Suggested Citation

  • Schlütter, Sebastian, 2011. "The role of frictional costs for insurance pricing and insurer default risk," ICIR Working Paper Series 07/11, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    • Handle: RePEc:zbw:icirwp:0711
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    References listed on IDEAS

    as
    1. Hsuan‐Chi Chen & Jay R. Ritter, 2000. "The Seven Percent Solution," Journal of Finance, American Finance Association, vol. 55(3), pages 1105-1131, June.
    2. Schlütter, Sebastian, 2011. "Capital requirements or pricing constraints? An economic analysis of measures for insurance regulation," ICIR Working Paper Series 03/11, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    3. Cummins, J. David & Danzon, Patricia M., 1997. "Price, Financial Quality, and Capital Flows in Insurance Markets," Journal of Financial Intermediation, Elsevier, vol. 6(1), pages 3-38, January.
    4. Kenneth A. Froot, 2007. "Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 273-299, June.
    5. Garven, James R. & Louberge, Henri, 1996. "Reinsurance, Taxes, and Efficiency: A Contingent Claims Model of Insurance Market Equilibrium," Journal of Financial Intermediation, Elsevier, vol. 5(1), pages 74-93, January.
    6. Lisa Grazzini, 2006. "A Note on Ad Valorem and Per Unit Taxation in an Oligopoly Model," Journal of Economics, Springer, vol. 89(1), pages 59-74, October.
    7. Gatzert, Nadine & Schmeiser, Hato, 2008. "Combining fair pricing and capital requirements for non-life insurance companies," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2589-2596, December.
    8. repec:bla:jfinan:v:43:y:1988:i:4:p:823-39 is not listed on IDEAS
    9. Froot, Kenneth A., 2001. "The market for catastrophe risk: a clinical examination," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 529-571, May.
    10. Doherty, Neil A & Garven, James R, 1986. "Price Regulation in Property-Liability Insurance: A Contingent-Claims Approach," Journal of Finance, American Finance Association, vol. 41(5), pages 1031-1050, December.
    11. Froot, Kenneth A. & O'Connell, Paul G.J., 2008. "On the pricing of intermediated risks: Theory and application to catastrophe reinsurance," Journal of Banking & Finance, Elsevier, vol. 32(1), pages 69-85, January.
    12. Harrington, Scott E. & Niehaus, Greg, 2003. "Capital, corporate income taxes, and catastrophe insurance," Journal of Financial Intermediation, Elsevier, vol. 12(4), pages 365-389, October.
    13. Yow, Shaun & Sherris, Michael, 2008. "Enterprise Risk Management, Insurer Value Maximisation, and Market Frictions," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 293-339, May.
    14. Helmut Gründl & Hato Schmeiser, 2007. "Capital Allocation for Insurance Companies—What Good IS IT?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 301-317, June.
    15. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May.
    16. Milidonis, Andreas & Grace, Martin F., 2008. "Tax-Deductible Pre-Event Catastrophe Loss Reserves: The Case of Florida1," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 13-51, May.
    17. Robert W. Klein & Shaun Wang, 2009. "Catastrophe Risk Financing in the United States and the European Union: A Comparative Analysis of Alternative Regulatory Approaches," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 607-637, September.
    18. D. B. Suits & R. A. Musgrave, 1953. "Ad Valorem and Unit Taxes Compared," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 67(4), pages 598-604.
    19. Skeath, Susan E. & Trandel, Gregory A., 1994. "A Pareto comparison of ad valorem and unit taxes in noncompetitive environments," Journal of Public Economics, Elsevier, vol. 53(1), pages 53-71, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General

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