Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees

This contribution analyses the implications of two major determinants influencing the asset allocation decision of German life insurers, which are the capital market development on the one hand and the interest rate guarantees of the traditional life insurance policies on the other hand. The adverse development of the stock prices between 2000 and 2002 asks for a consideration of not only the �normal� volatility but also the worst-case developments in an asset/liability management. In order to meet the latter requirement, we technically apply the risk measures of Value-at-Risk and Conditional Value-at-Risk. German life insurance policies incorporate interest rate guarantees, which are granted on an annual basis. This specific �myopic� nature of guarantees creates � beyond the control of the shortfall risk in general � the necessity to manage the asset allocation on an annual basis to match the time horizon of assets and liabilities. A quantitative approach analyses the impacts on the asset allocation decision. In our research we do not only consider market valuation, but also institutional peculiarities (such as hidden reserves and accounting norms) of German life insurers. We reveal the possibility of a riskless one-year investment, either based on market values or on book values, to be crucial for guaranteeing interest rates on an annual basis.

Surprises in a Growing Market Niche - An Evaluation of the German Private Annuities Market

High replacement rates from public old age insurance might lead to the belief that little room is left for private sector annuities in Germany. Taking a closer look, we find a small market with a surprisingly large variety of products. Due to the recent pension reform and future ones to come the market is projected to grow substantially in the upcoming years. This paper describes the available annuity contracts and determines their money’s worth for different subgroups of the population.

Analysis of the human monocyte-derived macrophage transcriptome and response to lipopolysaccharide provides new insights into genetic aetiology of inflammatory bowel disease

The FANTOM5 consortium utilised cap analysis of gene expression (CAGE) to provide an unprecedented insight into transcriptional regulation in human cells and tissues. In the current study, we have used CAGE-based transcriptional profiling on an extended dense time course of the response of human monocyte-derived macrophages grown in macrophage colony-stimulating factor (CSF1) to bacterial lipopolysaccharide (LPS). We propose that this system provides a model for the differentiation and adaptation of monocytes entering the intestinal lamina propria. The response to LPS is shown to be a cascade of successive waves of transient gene expression extending over at least 48 hours, with hundreds of positive and negative regulatory loops. Promoter analysis using motif activity response analysis (MARA) identified some of the transcription factors likely to be responsible for the temporal profile of transcriptional activation. Each LPS-inducible locus was associated with multiple inducible enhancers, and in each case, transient eRNA transcription at multiple sites detected by CAGE preceded the appearance of promoter-associated transcripts. LPS-inducible long non-coding RNAs were commonly associated with clusters of inducible enhancers. We used these data to re-examine the hundreds of loci associated with susceptibility to inflammatory bowel disease (IBD) in genome-wide association studies. Loci associated with IBD were strongly and specifically (relative to rheumatoid arthritis and unrelated traits) enriched for promoters that were regulated in monocyte differentiation or activation. Amongst previously-identified IBD susceptibility loci, the vast majority contained at least one promoter that was regulated in CSF1-dependent monocyte-macrophage transitions and/or in response to LPS. On this basis, we concluded that IBD loci are strongly-enriched for monocyte-specific genes, and identified at least 134 additional candidate genes associated with IBD susceptibility from reanalysis of published GWA studies. We propose that dysregulation of monocyte adaptation to the environment of the gastrointestinal mucosa is the key process leading to inflammatory bowel disease