2010 / 2009 / 2008 / 2007 / 2006
2010 – No. 133 to 147
No. 147: A Life Cycle Model with Pension Benefits and Taxes
Heinz Müller, Daniel Moos
No. 146: Corporate Finance and Economic Performance
Christian Keuschnigg
No. 145: Bond risk premia forecasting: A simple approach for extracting macroeconomic information from a panel of indicators
Francesco Audrino
No. 144: A Theory of Taxation and Incorporation
Peter Egger, Christian Keuschnigg, Hannes Winner
No. 143: Regulating Insurance Groups: A Comparison of Risk-Based Solvency Models
Hato Schmeiser, Caroline Siegel
No. 142: Pricing Catastrophe Swaps: A Contingent Claims Approach
Alexander Braun
No. 141: A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts
Hato Schmeiser, Joël Wagner
No. 140: A Benchmark Analysis of Participating Life Insurance Contracts
Roger Faust, Hato Schmeiser, Alexandra Zemp
No. 139: Under Which Conditions is an Insurance Guaranty Fund Beneficial for Policyholders?
Przemyslaw Rymaszewski, Hato Schmeiser, Joël Wagner
No. 138: Flexicurity and Job Reallocation
Thomas Davoine, Christian Keuschnigg
No. 137: Transition Strategies in Fundamental Tax Reform
Christian Keuschnigg, Mirela Keuschnigg
No. 136: Innovation, Trade and Finance
Christian Keuschnigg, Peter Egger
No. 135: A Traffic Light Approach to Solvency Measurement of Swiss Occupational Pension Funds
Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser
No. 134: Business Taxation, Corporate Finance and Economic Performance
Christian Keuschnigg, Evelyn Ribi
No. 133: Profit Taxation, Innovation and the Financing of Heterogeneous Firms
Christian Keuschnigg, Evelyn Ribi
2009 – No. 109 to 132
No. 132: Performance and Risks of Open-End Life Settlement Funds
Alexander Braun, Nadine Gatzert, Hato Schmeiser
No. 131: Efficiency in the International Insurance Industry: A Cross-Country Comparison
Martin Eling, Michael Luhnen
No. 130: Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data Driven Approach
Francesco Audrino, Kameliya Filipova
No. 129: Risk Measurement in Electricity Markets
Karl Frauendorfer
No. 128: Reaction of Swiss Term Premia to Monetary Policy Surprises
Paul Söderlind
No. 127: What Drives the Demand for Industry Loss Warranties?
Nadine Gatzert, Hato Schmeiser
No. 126: Insurance and the Credit Crisis: Impact and Ten Consequences for Risk Management and Supervision
Martin Eling, Hato Schmeiser
No. 125: On the Valuation of Investment Guarantees in Unit-Linked Life Insurance: A Behavioral Perspective
Nadine Gatzert, Carin Huber, Hato Schmeiser
No. 124: The Influence of Corporate Risk, Debt, and Diversifcation on Shareholder Value
Roger Faust
No. 123: The Performance of Hedge Funds and Mutual Funds in Emerging Markets
Martin Eling, Roger Faust
No. 122: The Secondary Market for Life Insurance in the U.K., Germany, and the U.S.: Comparison and Overview
Nadine Gatzert
No. 121: Optimal Risk Classification and Underwriting Risk for Substandard Annuities
Nadine Gatzert, Gudrun Hoermann, Hato Schmeiser
No. 120: Creating Customer Value in Participating Life Insurance Contracts
Nadine Gatzert, Ines Holzmueller, Hato Schmeiser
No. 119: Has Hedge Fund Alpha Disappeared?
Manuel Ammann, Otto Huber, Markus Schmid
No. 118: Asymmetric Dependence Patterns in Financial Time Series
Manuel Ammann, Stephan Süss
No. 117: The Performance of Actively and Passively Managed Swiss Equity Funds
Manuel Ammann, Michael Steiner
No 116: Intra-Day Characteristics of Stock Price Crashes
Manuel Ammann, Stephan Kessler
No. 115: Optimal Design of the Attribution of Pension Fund Performance to Employees
Heinz Müller, David Schiess
No. 114: Aging and the Financing of Social Security in Switzerland
Christian Keuschnigg, Mirella Keuschnigg, Christian Jaag
No. 113: The Role of Corporate Taxation in a Large Welfare State
Christian Keuschnigg
No. 112: The Distorting Arm’s Length Principle
Christian Keuschnigg, Michael P. Devereux
No. 111: Demographic Change and Pharmaceuticals' Stock Returns
Manuel Ammann, Rachel Berchtold, Ralf Seiz
No. 110: Do Implied Volatilities Predict Stock Returns?
Manuel Ammann, Michael Verhofen, Stephan Süss
No. 109: The Time-Varying Systematic Risk of Carry Trade Strategies
Paul Söderllind, Charlotte Christiansen, Angelo Ranaldo
2008 – No. 64 to 108
No. 108: Performance of Funds of Hedge Funds
Manuel Ammann, Patrick Moerth
No. 107: Impact of Fund Size and Fund Flows on Hedge Fund Performance
Manuel Ammann, Patrick Moerth
No. 106: Profit Taxation and Finance Constraints
Christian Keuschnigg, Evelyn Ribi
No. 105: Corporate Taxation, Debt Financing and Foreign Plant Ownership
Peter Egger, Wolfgang Eggert, Christian Keuschnigg, Hannes Winner
No. 104: Corporate Finance and Comparative Advantage
Peter Egger, Christian Keuschnigg
No. 103: Implied and Realized Volatility in the Cross-Section of Equity Options
Manuel Ammann, David Skovmand, Michael Verhofen
No. 102: Performance and Governance of Swiss Pension Funds
Manuel Ammann, Andreas Zingg
No. 101: Determinants of Efficiency and Productivity in German Property-Liability Insurance: Evicence for 1995-2006
Michael Luhnen
No. 100: Underwriting Cycles in German Property-Liability Insurance
Martin Eling, Michael Luhnen
No. 99: Investment Policies for Defined-Contribution Pension Funds
Heinz H. Müller, Roger T. Baumann
No. 98: Outsourcing, Unemployment and Welfare Policy
Christian Keuschnigg, Evelyn Ribi
No. 97: Understanding the Death Benefit Switch Option in Universal Life Policies
Nadine Gatzert, Gudrun Hoermann
No. 96: Is there Market Discipline in the European Insurance Industry? An Analysis of the German Insurance Market
Martin Eling, Joan T. Schmit
No. 95: The United States RBC Standards, Solvency II, and the Swiss Solvency Test: A Comparative Assessment
Ines Holzmüller
No. 94: Understanding Price Competition in German Motor Insurance
Martin Eling, Michael Luhnen
No. 93: Incorporation and Taxation: Theory and Firm-level Evidence
Peter Egger, Christian Keuschnigg, Hannes Winner
No. 92: Exports, Foreign Direct Investment and the Costs of Corporate Taxation
Christian Keuschnigg
No. 91: Corporate Taxation and the Welfare State
Christian Keuschnigg
No. 90: Pension Reform, Retirement and Life-Cycle Unemployment
Christian Jaag, Christian Keuschnigg, Mirela Keuschnigg
No. 89: Pension Reform and Labor Market Incentives
Walter H. Fisher, Christian Keuschnigg
No. 88: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Paul Söderlind
No. 87: An Overview and Comparison of Risk-Based Capital Standards
Martin Eling, Ines Holzmüller
No. 86: Frontier Efficiency Methodologies to Measure Performance in the Insurance Industry: Overview and new Empirical Evidence
Martin Eling, Michael Luhnen
No. 85: Why Disagreement May Not Matter (much) for Asset Prices
Paul Söderlind
No. 84: Clean Valuation with regard to EU Emission Trading
Karl Frauendorfer, Jens Güssow
No. 83: Modeling Tick-by-Tick Realized Correlations
Francesco Audrino, Fulvio Corsi
No. 82: Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
Fulvio Corsi, Francesco Audrino
No. 81: Forecasting Implied Volatility Surfaces
Francesco Audrino, Dominik Colangelo
No. 80: Splines for Financial Volatility
Francesco Audrino, Peter Bühlmann
No. 79: A Discussion of the Risk Assessment Methods for the German Automobile Insurance Industry
Thomas Parnitzke
No. 78: The Impact of the Secondary Market on Life Insurers' Surrender Profits
Nadine Gatzert, Gudrun Hoermann, Hato Schmeiser
No. 77: The Swiss Solvency Test and its Market Implications
Martin Eling, Nadine Gatzert, Hato Schmeiser
No. 76: Customer Value from a Customer Perspective: A Comprehensive Review
Albert Graf, Peter Maas
No. 75: Enhanced Annuities and the Impact of Individual Underwriting on an Insurer’s Profit Situation
Gudrun Hoermann, Jochen Russ
No. 74: On the Risk Situation of financial Conglomerates: Does Diversification matter?
Nadine Gatzert, Hato Schmeiser
No. 73: Performance Measurement in the Investment Industry: Does the Measure Matter?
Martin Eling
No. 72: Customer Value Analysis in Financial Services
Peter Maas, Albert Graf
No. 71: Public Policy, Venture Capital and Entrepreneurial Finance
Christian Keuschnigg
No. 70: Optimal Strategies during Retirement
David Schiess
No. 69: Investment Performance of Swiss Pension Funds and Investment Foundations
Manuel Ammann, Andreas Zingg
No. 68: Enterprise Risk Management in Financial Groups: Analysis of Risk Concentration and Default Risk
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
No. 67: Risk Factors for the Swiss Stock Market
Manuel Ammann, Michael Steiner
No. 66: Rating Model Arbitrage in CDO Markets: An Empirical Analysis
Stefan Morkötter, Simone Westerfeld
No. 65: Minimum Standards for Investment Performance: A New Perspective on Non-Life Insurer Solvency
Martin Eling, Nadine Gatzert, Hato Schmeiser
No. 64: The impact of prior performance on the risk-taking of mutual fund managers
Manuel Ammann, Michael Verhofen
2007 – No. 35 to 63
No. 63: Robust Value at Risk Prediction
Loriano Mancini, Fabio Trojani
No. 62: Tactical Industry Allocation and Model Uncertainty
Manuel Ammann, Michael Verhofen
No. 61: What Drives the Performance of Convertible-Bond Funds?
Manuel Ammann, Axel Kind, and Ralf Seiz
No. 60: Correlation Risk and Optimal Portfolio Choice
Andrea Buraschi, Paolo Porchia, Fabio Trojani
No. 59: Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies
Nadine Gatzert, Hato Schmeiser
No. 58: The Impact of Solvency II on Insurance Market Competition - An Economic Assessment
Stefan Schuckmann
No. 57: Learning and Asset Prices under Ambiguous Information
Markus Leippold, Fabio Trojani, Paolo Vanini
No. 56: Ambiguity Aversion and the Term Structure of Interest Rates
Patrick Gagliardini, Paolo Porchia, Fabio Trojani
No. 55: Safe Haven Currencies
Angelo Ranaldo, Paul Söderlind
No. 54: Predicting Stock Price Movements: Regressions versus Economists
Paul Söderlind
No. 53: Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility
Alessandro Sbulez, Fabio Trojani
No. 52: Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
Francesco Audrino, Fabio Trojani
No. 51: General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations
Francesco Audrino, Fabio Trojani
No. 50: An Analysis of Pricing and Basis Risk for Industry Loss Warranties
Nadine Gatzert, Hato Schmeiser, Denis Toplek
No. 49: Deferred Annuity Contracts under Stochastic Mortality And Interest Rates: Pricing and Model Risk Assessment
Denis Toplek
No. 48: Pension Funds as Institutions for Intertemporal Risk Transfer
Roger Baumann, Heinz Müller
No. 47: Pricing and Performance of Performance of Mutual Funds: Lookback versus Interest Rate Guarantees
Nadine Gatzert, Hato Schmeiser
No. 46: Risk Assessment of Life Insurance Contracts: A Comparative Study in a Lévy Framework
Nadine Gatzert, Stefan Kassberger
No. 45: Valuation of Electricity Swing Options by Multistage Stochastic Programming
Gido Haarbrücker, Daniel Kuhn
No. 44: Regime Switching based Portfolio Selection for Pension Funds
Karl Frauendorfer, Ulrich Jacoby, Alvin Schwendener
No. 43: Dynamic Modelling and Optimization of Non-Maturing Accounts
Karl Frauendorfer, Michael Schürle
No. 42: Bounding Methods in Stochastic Optimization: Theory and Applications
Karl Frauendorfer, Daniel Kuhn, Michael Schürle
No. 41: Does Hedge Fund Performance Persist? Overview and New Empirical Evidence
Martin Eling
No. 40: Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
No. 39: Modeling and Management of Nonlinear Dependencies - Copulas in Dynamic Financial Analysis
Martin Eling, Denis Toplek
No. 38: Implicit Options in Life Insurance: An Overview
Nadine Gatzert
No. 37: Exports, Foreign Direct Investment and the Costs of Corporate Taxation
Christian Keuschnigg
No. 36: Monetary Policy Effects on Financial Risk Premia
Paul Söderlind
No. 35: Management Strategies and Dynamic Financial Analysis
Martin Eling, Thomas Parnitzke, Hato Schmeiser
2006 – No. 1 to 34
No. 34: Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Martin Eling, Frank Schuhmacher
No. 33: Asset Management and Surplus Distribution Strategies in Life Insurance: An Examination with Respect to Risk Pricing and Risk Measurement
Nadine Gatzert
No. 32: Implicit Options in Life Insurance: Valuation and Risk Management
Nadine Gatzert, Hato Schmeiser
No. 31: Performance Measurement of Hedge Funds Using Data Envelopment Analysis
Martin Eling
No. 30: The Influence of Corporate Taxes on Pricing and Capital Structure in Property-Liability Insurance
Nadine Gatzert, Hato Schmeiser
No. 29: Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts
Nadine Gatzert, Hato Schmeiser
No. 28: The Solvency II Process: Overview and Critical Analysis
Martin Eling, Hato Schmeiser, Joan T. Schmit
No. 27: Analysis of Participating Life Insurance Contracts: A Unification Approach
Nadine Gatzert, Alexander Kling
No. 26: Dynamic Financial Analysis: Classification, Conception, and Implementation
Martin Eling, Thomas Parnitzke
No. 25: Analysis of Embedded Options in Individual Pension Schemes in Germany
Alexander Kling, Jochen Russ, Hato Schmeiser
No. 24: Capital Allocation for Insurance Companies - What Good is it?
Helmut Gründl, Hato Schmeiser
No. 23: Life Annuity Insurance versus Self-Annuitization: An Analysis from the Perspective of the Family
Hato Schmeiser, Thomas Post
No. 22: Shortfall Minimizing Portfolios
Heinz Müller, Roger Baumann
No. 21: Testing Conditional Asset Pricing Models Using a markov Chain Monte Carlo Approach
Manuel Ammann, Michael Verhofen
No. 20: The Effect of Market Regimes on Style Allocation
Manuel Ammann, Michael Verhofen
No. 19: The Conglomerate Discount: A New Explanation Based on Credit Risk
Manuel Ammann, Michael Verhofen
No. 18: Analyzing Active Investment Strategies Using Tracking Error Variance Decomposition
Manuel Ammann, Stephan Kessler, Jürg Tobler
No. 17: Self-Selection and Advice in Venture Capital Finance
Christian Keuschnigg, Soren Bo Nielsen
No. 16: Pricing and Hedging Mandatory Convertible Bonds
Manuel Ammann and Ralf Seiz
No. 15: C-CAPM wothout Ex Post Data
Paul Söderlind
No. 14: International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
Stefano d'Addona, Axel Kind
No. 13: Simulation-Based Pricing of Convertible Bonds
Manuel Ammann, Axel Kind and Christian Wilde
No. 12: Public Policy, Start-up Entrepreneurship, and the Market for Venture Capital
Christian Keuschnigg and Soren Bo Nielsen
No. 11: Impact of Fund Size on Hedge Fund Performance
Manuel Ammann, Patrick Moerth
No. 10: Information Processing on the Swiss Stock Market
Manuel Ammann and Stephan Kessler
No. 9: Refinancing Mortgages in Switzerland
Karl Frauendorfer and Michael Schürle
No. 8: Energy Business and Finance Policy - Paralles in Methodology and Duties
Karl Frauendorfer, Jens Güssow and Daniel Kuhn
No. 7: Dynamic Asset Allocation with Regime Shifts
Dominik Boos, Jérôme Koller and Olivier Schmid
No. 6: C-CAPM Refinements and the Cross-Section of Returns
Paul Söderlind
No. 5: Dynamic Taylor Rules and the Predictability of Interest Rates
Paul Söderlind, Ulf Söderström and Anders Vredin
No. 4: Is there Evidence of Pessimism and Doubt in Subjective Distributions? Implication s for the Equity Premium Puzzle
Paolo Giordani and Paul Söderlind
No. 3: New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds
Manuel Ammann, Martin Fehr and Ralf Seiz
No. 2: Does the Model Matter? A Valuation Analysis of Employee Stock Options
Manuel Ammann and Ralf Seiz
No. 1: A Testable Credit Risk Framework with Optimal Bankruptcy, Taxes, and a Complex Capital Structure
Manuel Ammann and Michael Genser
2010 / 2009 / 2008 / 2007 / 2006
2010 – No. 133 to 147
No. 147: A Life Cycle Model with Pension Benefits and Taxes
Heinz Müller, Daniel Moos
No. 146: Corporate Finance and Economic Performance
Christian Keuschnigg
No. 145: Bond risk premia forecasting: A simple approach for extracting macroeconomic information from a panel of indicators
Francesco Audrino
No. 144: A Theory of Taxation and Incorporation
Peter Egger, Christian Keuschnigg, Hannes Winner
No. 143: Regulating Insurance Groups: A Comparison of Risk-Based Solvency Models
Hato Schmeiser, Caroline Siegel
No. 142: Pricing Catastrophe Swaps: A Contingent Claims Approach
Alexander Braun
No. 141: A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance Contracts
Hato Schmeiser, Joël Wagner
No. 140: A Benchmark Analysis of Participating Life Insurance Contracts
Roger Faust, Hato Schmeiser, Alexandra Zemp
No. 139: Under Which Conditions is an Insurance Guaranty Fund Beneficial for Policyholders?
Przemyslaw Rymaszewski, Hato Schmeiser, Joël Wagner
No. 138: Flexicurity and Job Reallocation
Thomas Davoine, Christian Keuschnigg
No. 137: Transition Strategies in Fundamental Tax Reform
Christian Keuschnigg, Mirela Keuschnigg
No. 136: Innovation, Trade and Finance
Christian Keuschnigg, Peter Egger
No. 135: A Traffic Light Approach to Solvency Measurement of Swiss Occupational Pension Funds
Alexander Braun, Przemyslaw Rymaszewski, Hato Schmeiser
No. 134: Business Taxation, Corporate Finance and Economic Performance
Christian Keuschnigg, Evelyn Ribi
No. 133: Profit Taxation, Innovation and the Financing of Heterogeneous Firms
Christian Keuschnigg, Evelyn Ribi
2009 – No. 109 to 132
No. 132: Performance and Risks of Open-End Life Settlement Funds
Alexander Braun, Nadine Gatzert, Hato Schmeiser
No. 131: Efficiency in the International Insurance Industry: A Cross-Country Comparison
Martin Eling, Michael Luhnen
No. 130: Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data Driven Approach
Francesco Audrino, Kameliya Filipova
No. 129: Risk Measurement in Electricity Markets
Karl Frauendorfer
No. 128: Reaction of Swiss Term Premia to Monetary Policy Surprises
Paul Söderlind
No. 127: What Drives the Demand for Industry Loss Warranties?
Nadine Gatzert, Hato Schmeiser
No. 126: Insurance and the Credit Crisis: Impact and Ten Consequences for Risk Management and Supervision
Martin Eling, Hato Schmeiser
No. 125: On the Valuation of Investment Guarantees in Unit-Linked Life Insurance: A Behavioral Perspective
Nadine Gatzert, Carin Huber, Hato Schmeiser
No. 124: The Influence of Corporate Risk, Debt, and Diversifcation on Shareholder Value
Roger Faust
No. 123: The Performance of Hedge Funds and Mutual Funds in Emerging Markets
Martin Eling, Roger Faust
No. 122: The Secondary Market for Life Insurance in the U.K., Germany, and the U.S.: Comparison and Overview
Nadine Gatzert
No. 121: Optimal Risk Classification and Underwriting Risk for Substandard Annuities
Nadine Gatzert, Gudrun Hoermann, Hato Schmeiser
No. 120: Creating Customer Value in Participating Life Insurance Contracts
Nadine Gatzert, Ines Holzmueller, Hato Schmeiser
No. 119: Has Hedge Fund Alpha Disappeared?
Manuel Ammann, Otto Huber, Markus Schmid
No. 118: Asymmetric Dependence Patterns in Financial Time Series
Manuel Ammann, Stephan Süss
No. 117: The Performance of Actively and Passively Managed Swiss Equity Funds
Manuel Ammann, Michael Steiner
No 116: Intra-Day Characteristics of Stock Price Crashes
Manuel Ammann, Stephan Kessler
No. 115: Optimal Design of the Attribution of Pension Fund Performance to Employees
Heinz Müller, David Schiess
No. 114: Aging and the Financing of Social Security in Switzerland
Christian Keuschnigg, Mirella Keuschnigg, Christian Jaag
No. 113: The Role of Corporate Taxation in a Large Welfare State
Christian Keuschnigg
No. 112: The Distorting Arm’s Length Principle
Christian Keuschnigg, Michael P. Devereux
No. 111: Demographic Change and Pharmaceuticals' Stock Returns
Manuel Ammann, Rachel Berchtold, Ralf Seiz
No. 110: Do Implied Volatilities Predict Stock Returns?
Manuel Ammann, Michael Verhofen, Stephan Süss
No. 109: The Time-Varying Systematic Risk of Carry Trade Strategies
Paul Söderllind, Charlotte Christiansen, Angelo Ranaldo
2008 – No. 64 to 108
No. 108: Performance of Funds of Hedge Funds
Manuel Ammann, Patrick Moerth
No. 107: Impact of Fund Size and Fund Flows on Hedge Fund Performance
Manuel Ammann, Patrick Moerth
No. 106: Profit Taxation and Finance Constraints
Christian Keuschnigg, Evelyn Ribi
No. 105: Corporate Taxation, Debt Financing and Foreign Plant Ownership
Peter Egger, Wolfgang Eggert, Christian Keuschnigg, Hannes Winner
No. 104: Corporate Finance and Comparative Advantage
Peter Egger, Christian Keuschnigg
No. 103: Implied and Realized Volatility in the Cross-Section of Equity Options
Manuel Ammann, David Skovmand, Michael Verhofen
No. 102: Performance and Governance of Swiss Pension Funds
Manuel Ammann, Andreas Zingg
No. 101: Determinants of Efficiency and Productivity in German Property-Liability Insurance: Evicence for 1995-2006
Michael Luhnen
No. 100: Underwriting Cycles in German Property-Liability Insurance
Martin Eling, Michael Luhnen
No. 99: Investment Policies for Defined-Contribution Pension Funds
Heinz H. Müller, Roger T. Baumann
No. 98: Outsourcing, Unemployment and Welfare Policy
Christian Keuschnigg, Evelyn Ribi
No. 97: Understanding the Death Benefit Switch Option in Universal Life Policies
Nadine Gatzert, Gudrun Hoermann
No. 96: Is there Market Discipline in the European Insurance Industry? An Analysis of the German Insurance Market
Martin Eling, Joan T. Schmit
No. 95: The United States RBC Standards, Solvency II, and the Swiss Solvency Test: A Comparative Assessment
Ines Holzmüller
No. 94: Understanding Price Competition in German Motor Insurance
Martin Eling, Michael Luhnen
No. 93: Incorporation and Taxation: Theory and Firm-level Evidence
Peter Egger, Christian Keuschnigg, Hannes Winner
No. 92: Exports, Foreign Direct Investment and the Costs of Corporate Taxation
Christian Keuschnigg
No. 91: Corporate Taxation and the Welfare State
Christian Keuschnigg
No. 90: Pension Reform, Retirement and Life-Cycle Unemployment
Christian Jaag, Christian Keuschnigg, Mirela Keuschnigg
No. 89: Pension Reform and Labor Market Incentives
Walter H. Fisher, Christian Keuschnigg
No. 88: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Paul Söderlind
No. 87: An Overview and Comparison of Risk-Based Capital Standards
Martin Eling, Ines Holzmüller
No. 86: Frontier Efficiency Methodologies to Measure Performance in the Insurance Industry: Overview and new Empirical Evidence
Martin Eling, Michael Luhnen
No. 85: Why Disagreement May Not Matter (much) for Asset Prices
Paul Söderlind
No. 84: Clean Valuation with regard to EU Emission Trading
Karl Frauendorfer, Jens Güssow
No. 83: Modeling Tick-by-Tick Realized Correlations
Francesco Audrino, Fulvio Corsi
No. 82: Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
Fulvio Corsi, Francesco Audrino
No. 81: Forecasting Implied Volatility Surfaces
Francesco Audrino, Dominik Colangelo
No. 80: Splines for Financial Volatility
Francesco Audrino, Peter Bühlmann
No. 79: A Discussion of the Risk Assessment Methods for the German Automobile Insurance Industry
Thomas Parnitzke
No. 78: The Impact of the Secondary Market on Life Insurers' Surrender Profits
Nadine Gatzert, Gudrun Hoermann, Hato Schmeiser
No. 77: The Swiss Solvency Test and its Market Implications
Martin Eling, Nadine Gatzert, Hato Schmeiser
No. 76: Customer Value from a Customer Perspective: A Comprehensive Review
Albert Graf, Peter Maas
No. 75: Enhanced Annuities and the Impact of Individual Underwriting on an Insurer’s Profit Situation
Gudrun Hoermann, Jochen Russ
No. 74: On the Risk Situation of financial Conglomerates: Does Diversification matter?
Nadine Gatzert, Hato Schmeiser
No. 73: Performance Measurement in the Investment Industry: Does the Measure Matter?
Martin Eling
No. 72: Customer Value Analysis in Financial Services
Peter Maas, Albert Graf
No. 71: Public Policy, Venture Capital and Entrepreneurial Finance
Christian Keuschnigg
No. 70: Optimal Strategies during Retirement
David Schiess
No. 69: Investment Performance of Swiss Pension Funds and Investment Foundations
Manuel Ammann, Andreas Zingg
No. 68: Enterprise Risk Management in Financial Groups: Analysis of Risk Concentration and Default Risk
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
No. 67: Risk Factors for the Swiss Stock Market
Manuel Ammann, Michael Steiner
No. 66: Rating Model Arbitrage in CDO Markets: An Empirical Analysis
Stefan Morkötter, Simone Westerfeld
No. 65: Minimum Standards for Investment Performance: A New Perspective on Non-Life Insurer Solvency
Martin Eling, Nadine Gatzert, Hato Schmeiser
No. 64: The impact of prior performance on the risk-taking of mutual fund managers
Manuel Ammann, Michael Verhofen
2007 – No. 35 to 63
No. 63: Robust Value at Risk Prediction
Loriano Mancini, Fabio Trojani
No. 62: Tactical Industry Allocation and Model Uncertainty
Manuel Ammann, Michael Verhofen
No. 61: What Drives the Performance of Convertible-Bond Funds?
Manuel Ammann, Axel Kind, and Ralf Seiz
No. 60: Correlation Risk and Optimal Portfolio Choice
Andrea Buraschi, Paolo Porchia, Fabio Trojani
No. 59: Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies
Nadine Gatzert, Hato Schmeiser
No. 58: The Impact of Solvency II on Insurance Market Competition - An Economic Assessment
Stefan Schuckmann
No. 57: Learning and Asset Prices under Ambiguous Information
Markus Leippold, Fabio Trojani, Paolo Vanini
No. 56: Ambiguity Aversion and the Term Structure of Interest Rates
Patrick Gagliardini, Paolo Porchia, Fabio Trojani
No. 55: Safe Haven Currencies
Angelo Ranaldo, Paul Söderlind
No. 54: Predicting Stock Price Movements: Regressions versus Economists
Paul Söderlind
No. 53: Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility
Alessandro Sbulez, Fabio Trojani
No. 52: Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
Francesco Audrino, Fabio Trojani
No. 51: General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations
Francesco Audrino, Fabio Trojani
No. 50: An Analysis of Pricing and Basis Risk for Industry Loss Warranties
Nadine Gatzert, Hato Schmeiser, Denis Toplek
No. 49: Deferred Annuity Contracts under Stochastic Mortality And Interest Rates: Pricing and Model Risk Assessment
Denis Toplek
No. 48: Pension Funds as Institutions for Intertemporal Risk Transfer
Roger Baumann, Heinz Müller
No. 47: Pricing and Performance of Performance of Mutual Funds: Lookback versus Interest Rate Guarantees
Nadine Gatzert, Hato Schmeiser
No. 46: Risk Assessment of Life Insurance Contracts: A Comparative Study in a Lévy Framework
Nadine Gatzert, Stefan Kassberger
No. 45: Valuation of Electricity Swing Options by Multistage Stochastic Programming
Gido Haarbrücker, Daniel Kuhn
No. 44: Regime Switching based Portfolio Selection for Pension Funds
Karl Frauendorfer, Ulrich Jacoby, Alvin Schwendener
No. 43: Dynamic Modelling and Optimization of Non-Maturing Accounts
Karl Frauendorfer, Michael Schürle
No. 42: Bounding Methods in Stochastic Optimization: Theory and Applications
Karl Frauendorfer, Daniel Kuhn, Michael Schürle
No. 41: Does Hedge Fund Performance Persist? Overview and New Empirical Evidence
Martin Eling
No. 40: Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk
Nadine Gatzert, Hato Schmeiser, Stefan Schuckmann
No. 39: Modeling and Management of Nonlinear Dependencies - Copulas in Dynamic Financial Analysis
Martin Eling, Denis Toplek
No. 38: Implicit Options in Life Insurance: An Overview
Nadine Gatzert
No. 37: Exports, Foreign Direct Investment and the Costs of Corporate Taxation
Christian Keuschnigg
No. 36: Monetary Policy Effects on Financial Risk Premia
Paul Söderlind
No. 35: Management Strategies and Dynamic Financial Analysis
Martin Eling, Thomas Parnitzke, Hato Schmeiser
2006 – No. 1 to 34
No. 34: Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Martin Eling, Frank Schuhmacher
No. 33: Asset Management and Surplus Distribution Strategies in Life Insurance: An Examination with Respect to Risk Pricing and Risk Measurement
Nadine Gatzert
No. 32: Implicit Options in Life Insurance: Valuation and Risk Management
Nadine Gatzert, Hato Schmeiser
No. 31: Performance Measurement of Hedge Funds Using Data Envelopment Analysis
Martin Eling
No. 30: The Influence of Corporate Taxes on Pricing and Capital Structure in Property-Liability Insurance
Nadine Gatzert, Hato Schmeiser
No. 29: Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts
Nadine Gatzert, Hato Schmeiser
No. 28: The Solvency II Process: Overview and Critical Analysis
Martin Eling, Hato Schmeiser, Joan T. Schmit
No. 27: Analysis of Participating Life Insurance Contracts: A Unification Approach
Nadine Gatzert, Alexander Kling
No. 26: Dynamic Financial Analysis: Classification, Conception, and Implementation
Martin Eling, Thomas Parnitzke
No. 25: Analysis of Embedded Options in Individual Pension Schemes in Germany
Alexander Kling, Jochen Russ, Hato Schmeiser
No. 24: Capital Allocation for Insurance Companies - What Good is it?
Helmut Gründl, Hato Schmeiser
No. 23: Life Annuity Insurance versus Self-Annuitization: An Analysis from the Perspective of the Family
Hato Schmeiser, Thomas Post
No. 22: Shortfall Minimizing Portfolios
Heinz Müller, Roger Baumann
No. 21: Testing Conditional Asset Pricing Models Using a markov Chain Monte Carlo Approach
Manuel Ammann, Michael Verhofen
No. 20: The Effect of Market Regimes on Style Allocation
Manuel Ammann, Michael Verhofen
No. 19: The Conglomerate Discount: A New Explanation Based on Credit Risk
Manuel Ammann, Michael Verhofen
No. 18: Analyzing Active Investment Strategies Using Tracking Error Variance Decomposition
Manuel Ammann, Stephan Kessler, Jürg Tobler
No. 17: Self-Selection and Advice in Venture Capital Finance
Christian Keuschnigg, Soren Bo Nielsen
No. 16: Pricing and Hedging Mandatory Convertible Bonds
Manuel Ammann and Ralf Seiz
No. 15: C-CAPM wothout Ex Post Data
Paul Söderlind
No. 14: International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
Stefano d'Addona, Axel Kind
No. 13: Simulation-Based Pricing of Convertible Bonds
Manuel Ammann, Axel Kind and Christian Wilde
No. 12: Public Policy, Start-up Entrepreneurship, and the Market for Venture Capital
Christian Keuschnigg and Soren Bo Nielsen
No. 11: Impact of Fund Size on Hedge Fund Performance
Manuel Ammann, Patrick Moerth
No. 10: Information Processing on the Swiss Stock Market
Manuel Ammann and Stephan Kessler
No. 9: Refinancing Mortgages in Switzerland
Karl Frauendorfer and Michael Schürle
No. 8: Energy Business and Finance Policy - Paralles in Methodology and Duties
Karl Frauendorfer, Jens Güssow and Daniel Kuhn
No. 7: Dynamic Asset Allocation with Regime Shifts
Dominik Boos, Jérôme Koller and Olivier Schmid
No. 6: C-CAPM Refinements and the Cross-Section of Returns
Paul Söderlind
No. 5: Dynamic Taylor Rules and the Predictability of Interest Rates
Paul Söderlind, Ulf Söderström and Anders Vredin
No. 4: Is there Evidence of Pessimism and Doubt in Subjective Distributions? Implication s for the Equity Premium Puzzle
Paolo Giordani and Paul Söderlind
No. 3: New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds
Manuel Ammann, Martin Fehr and Ralf Seiz
No. 2: Does the Model Matter? A Valuation Analysis of Employee Stock Options
Manuel Ammann and Ralf Seiz
No. 1: A Testable Credit Risk Framework with Optimal Bankruptcy, Taxes, and a Complex Capital Structure
Manuel Ammann and Michael Genser