nep-ias New Economics Papers
on Insurance Economics
Issue of 2011‒06‒04
five papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

  1. Investment risk taking by institutional investors By Janko Gorter; Jacob Bikker
  2. Time-varying Yield Distributions and the U.S. Crop Insurance Program By Zhu, Ying; Goodwin, Barry; Ghosh, Sujit
  3. Economic Effects of Health Care Reform on Virginia By Terance J. Rephann
  4. Labour supply as a buffer: evidence from UK households By Benito, Andrew; Saleheen, Jumana
  5. La tutela dell'occupazione nelle cooperative di lavoro: strumenti e motivazioni. Analisi di un gruppo di cooperative ravennati By Cecilia Navarra

  1. By: Janko Gorter; Jacob Bikker
    Abstract: This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a unique and extended dataset that covers the volatile investment period 1995-2009, we find that, in the Netherlands, insurers take substantially less investment risk than pension funds, even though a market risk capital charge for insurers is yet absent. This result can be explained from financial distress costs, which only insurers face. We also find that institutional investors' risk taking is determined by their risk bearing capacity, where this risk bearing capacity depends on capital, size, reinsurance, underwriting risk and human and financial wealth per pension plan participant. Finally, and in line with the ownership structure hypothesis, stock insurers are found to take significantly more investment risk than mutual insurers.
    Keywords: Portfolio Choice, Insurance Companies, Pension Funds, Ownership Structure
    JEL: G11 G22 G23 G32
    Date: 2011–05
  2. By: Zhu, Ying; Goodwin, Barry; Ghosh, Sujit
    Abstract: The objective of this study is to evaluate and model the yield risk associated with major agricultural commodities in the U.S. We are particularly concerned with the nonstationary nature of the yield distribution, which primarily arises because of technological progress and changing environmental conditions. Precise risk assessment depends on the accuracy of modeling this distribution. This problem becomes more challenging as the yield distribution changes over time, a condition that holds for nearly all major crops. A common approach to this problem is based on a two-stage method in which the yield is first detrended and then the estimated residuals are treated as observed data and modeled using various parametric or nonparametric methods. We propose an alternative parametric model that allows the moments of the yield distributions to change with time. Several model selection techniques suggest that the proposed time-varying model outperforms more conventional models in terms of in-sample goodness-of-fit, out-of- sample predictive power and the prediction accuracy of insurance premium rates.
    Keywords: Risk and Uncertainty,
    Date: 2011
  3. By: Terance J. Rephann (Center for Economic and Policy Studies)
    Abstract: This study estimates the impact of the 2010 health care reform law (the Patient Protection and Affordable Care Act/Health Care and Education Reconciliation Act) on Virginia’s economy. Health care reform is a complex and multifaceted law that was enacted with the joint goals of improving health insurance coverage for U.S. residents, decreasing the costs of health care, and improving overall health care delivery and quality. Although it was enacted for these purposes, the law also involves large changes in tax policy and government and private expenditures that can be expected to have significant direct and indirect economic effects. The study uses an industry-standard regional economic impact tool, REMI PI+ (Regional Economic Models, Inc. Policy Insight Plus), and data from the Congressional Budget Office, Joint Committee on Taxation, Virginia Department of Medical Assistance and other sources to estimate these effects. Results indicate that health care reform has positive employment effects for Virginia.
    Keywords: health, reform, regional
    JEL: R00 I18
    Date: 2011–02–21
  4. By: Benito, Andrew (Bank of England); Saleheen, Jumana (Bank of England)
    Abstract: This paper examines labour supply adjustment – both hours worked and participation decisions. The analysis focuses on the response of each to financial shocks, employing data from the British Household Panel Survey. Results suggest that employees whose financial situation deteriorates relative to what they expected, increase their labour supply in response. That response is consistent with models of self-insurance that incorporate labour supply flexibility. The shock reflects several factors including financial wealth and a partner’s employment situation. The response is significantly larger for those who change job, consistent with the importance of hours constraints within jobs. The propensity to participate in the labour market also appears to respond to the financial shock but that is somewhat less robust than the hours response.
    Keywords: Labour supply; self-insurance.
    JEL: J22
    Date: 2011–05–27
  5. By: Cecilia Navarra
    Abstract: Le cooperative di lavoro italiane tendenzialmente accumulano un’elevata quota dei profitti nelle riserve indivisibili, un fondo indisponibile e inappropriabile da parte dei soci. La ricerca indaga le ragioni di questa pratica, dopo aver discusso le interpretazioni più frequentemente utilizzate. L’ipotesi che viene formulata è che le riserve indivisibili giochino un importante ruolo nella tutela della stabilità dell’occupazione nelle cooperative. Questa può infatti essere ottenuta in due modi: tramite la fluttuazione dei salari, oppure mediante l’accumulazione di un fondo “assicurativo”, che permetta di affrontare i momenti di difficoltà garantendo sia la stabilità del numero di occupati, sia quella delle loro remunerazioni. L’argomento viene poi esteso per includere due ulteriori componenti: la prospettiva di lungo periodo del rapporto tra il socio e la cooperativa, e la percezione da parte del socio stesso di senso di appartenenza verso quest’ultima. All’elaborazione teorica si affiancano i risultati di uno studio di caso condotto presso le cooperative della Legacoop di Ravenna, che utilizza sia dati a livello di impresa, sia dati raccolti tramite un’indagine presso i lavoratori.
    JEL: J54 P13 D23 D92
    Date: 2010

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