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Systemic Risk in the Insurance Industry Models, Measures and Reality 16 – 17 November, 2016 Bad Homburg, Germany ICIR-SAFE Research and Policy Workshop
Systemic Risk in the Insurance Industry Models, Measures and Reality16 – 17 November, 2016Bad Homburg, Germany
ICIR-SAFE Research and Policy Workshop
2SYSTEMIC RISK IN THE INSURANCE INDUSTRYMODELS, MEASURES AND REALITY
“Systemic Risk in the Insurance Industry” is gaining strong attention as the systemic relevance of insurance companies causes controversial debates in the academic literature and policy sphere.
The ICIR-SAFE workshop addresses the systemic risk topic by shedding light on the insurance industry in particular. To this end, the workshop provides a platform to host a high-level discussion between international regulatory institutions, policy makers, industry and academics. Topics include the definition, measurement and management of systemic risk as well as regulatory actions.
The workshop intends to trigger thought provoking discussion and to raise the awareness for the different perspectives of the stakeholders involved.
The first day of the workshop will focus on the policy dimension of systemic risk in insurance, with strong interaction between regulatory and supervisory institutions and the industry. Institutions such as the International Monetary Fund (IMF), the International Association of Insurance Supervisors (IAIS), the European Central Bank (ECB), the European Systemic Risk Board (ESRB), the German Federal Financial Supervisory Authority (BaFin) and the European Insurance and Occupational Pensions Authority (EIOPA) are invited. Executives from leading insurance com- panies such as Allianz, AXA, and Munich Re will give an insight into the industry perspective.
The second day of the workshop is devoted to a research meeting, in which high- quality research findings on systemic risk topics will be discussed.
Systemic Risk in the Insurance Industry Models, Measures and Reality
How does systemic risk manifest itself in the insurance industry?
Measures and models vs. reality: What are the limits of systemic risk modeling?
What are the dimensions of “systemic risk” and how can systemic risk be managed on the regulatory, supervisory and firm level?
How can micro- and macroprudential regulation cooperate to manage both solvency and systemic risk?
Does regulation create mechanisms that contribute to the susceptibility of markets towards systemic risk?
3SYSTEMIC RISK IN THE INSURANCE INDUSTRYMODELS, MEASURES AND REALITY 3
15:30 – 16:00 Reception
16:00 – 16:15 Welcome Address Helmut Gründl (Chair of Insurance and Regulation, ICIR, Goethe University)
16:15 – 17:15 The Global Regulatory Perspective
Systemic Risk in the Insurance Industry – Are We Doing too Much or too Little?Felix Hufeld (President, BaFin)
Criteria for Systemic Risk-LabelsCatherine Lezon (Deputy Secretary-General, International Association of Insurance Supervisors)
Panel: Thomas C. Wilson (CRO, Allianz SE), Gaston Gelos (Division Chief of the Global Financial Stability Analysis Division, International Monetary Fund) Moderation: Raj Singh (CRO, Standard Life UK)
17:30 – 18:30 The Industry Perspective
Systemic Risk Measures and the Insurance Business ModelChristian Thimann (Member of the Executive Committee, Group Head of Strategy, Sustainability and Public Affairs, AXA Group)
Measuring Systemic Risk – Squaring the Circle? Michael Menhart (Chief Economist, Munich Re)
Panel: Frank Grund (Chief Executive Director of Insurance and Pension Funds Supervision, BaFin), Karel Van Hulle (Honorary Professor, ICIR, Goethe University), Kamil Yılmaz (Professor of Economics, Koç University)Moderation: Jan Pieter Krahnen (Chair of Corporate Finance, Goethe University and SAFE Director, Research)
18:45 – 19:45The European Regulatory Perspective Consistent Management of Systemic and Solvency RisksGabriel Bernardino (Chairman, EIOPA), Francesco Mazzaferro (Head of the Secretariat of the European Systemic Risk Board)
Panel: Olav Jones (Deputy Director General & Director Economics and Finance, Insurance Europe),Loriana Pelizzon (SAFE Chair of Law and Finance, Goethe University), Axel Wehling (Member of the Board of Directors, German Insurance Association (GDV))Moderation: Helmut Gründl (Chair of Insurance and Regulation, ICIR, Goethe University)
20:00Dinner
PROGRAM WEDNESDAY, NOVEMBER 16, 2016
Program Wednesday, November 16, 2016 Stakeholder Perspectives on Systemic Risk in Insurance Chair: Helmut Gründl
4SYSTEMIC RISK IN THE INSURANCE INDUSTRYMODELS, MEASURES AND REALITY
8:15 – 8:30Welcome Address
8:30 – 9:20*CoRisk: Measuring Bail-In Systemic Risk Through Default Probability ContagionPaolo Giudici (University of Pavia), Laura Parisi (University of Pavia and NYU Stern School of Business) Discussion: Christian Kubitza (ICIR, Goethe University)
9:20 – 10:10Volatility Connectedness and Systemic Risk in the Insurance IndustryKamil Yilmaz, Mehmet Karaca (Koç University)Discussion: Loriana Pelizzon (SAFE, Goethe University)
10:10 – 10:30Coffee Break
10:30 – 11:20Spillover Duration of Stock Returns and Systemic RiskChristian Kubitza, Helmut Gründl (ICIR, Goethe University) Discussion: Paolo Giudici (University of Pavia)
11:20 – 12:10Measuring Systemic Risk of Insurance CompaniesViral V. Acharya (NYU Stern School of Business) Discussion: Christian Thimann (AXA Group and LSE Systemic Risk Centre)
12:10 – 13:30Lunch
13:30 – 14:20Portfolio Similarity and Asset Liquidation in the Insurance IndustryLoriana Pelizzon (SAFE, Goethe University), Mila Getmansky (University of Massachusetts), Giulio Girardi (U.S. Securities and Exchange Commission), Kathleen Hanley (Lehigh University), Stanislava Nikolova (University of Nebraska-Lincoln)Discussion: Mathieu Vital (Financial Stability Strategy and Risk, Bank of England)
14:20 – 15:10The Impact of Regulation on UK Insurers’ Investment Behaviour – a Structural ApproachGraeme Douglas (Financial Stability Strategy and Risk, Bank of England)Discussion: Paolo Zanghieri (Generali and University of Bologna)
15:10 – 15:30Coffee Break
15:30 – 16:20The Value and the Price of a “too-big-to-fail” Guarantee: Evidence from the Insurance IndustryPaolo Zanghieri (Generali and University of Bologna)Discussion: Andrea Paltrinieri (University of Udine)
16:20 – 17:10Bank-Insurance Spillovers: Evidence from EuropeAndrea Paltrinieri, Stefano Miani, Alex Sclip (University of Udine), Alberto Dreassi (University of Trieste)Discussion: Mirko Kraft (Hochschule Coburg)
17:10 – 17:30Summary and Closing Remarks
17:30 End of Research Meeting
4PROGRAM THURSDAY, NOVEMBER 17, 2016
Program Thursday, November 17, 2016 Research Meeting on Systemic Risk in Insurance Academic Presentations and Discussions Chair: Helmut Gründl and Loriana Pelizzon
PRESENTATION (30 MIN) PLUS DISCUSSION (10 MIN) PLUS OPEN DISCUSSION (10 MIN)
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5SYSTEMIC RISK IN THE INSURANCE INDUSTRYMODELS, MEASURES AND REALITY
The House of Finance combines several interdisciplinary research and education activities in the area of finance at Goethe University Frankfurt. It is an open meeting place and cooperation forum for academia, politics and practitioners from industry and regulation. Altogether, 200 scholars conduct research and offer courses at the House of Finance, among them 40 professors – one of the largest research groups on financial and monetary topics in Europe. Its researchers belong to the University’s Departments of Finance and Money and Macroeconomics (Faculty of Economics and Business Administration) as well as Corporate and Financial Law (Faculty of Law). Furthermore, the House of Finance houses eight institutions that offer research and executive education on various aspects of the finance topic.
About Sustainable Architecture for Finance in Europe (SAFE)The LOEWE Center SAFE – “Sustainable Architecture for Finance in Europe” – con ducts independent research on all areas relevant for developing a sustainable archi- tecture for finance in Europe. Unique characteristics of SAFE’s research program are the comprehensive analysis of modern financial markets, the collaboration across different research areas and the collection and provision of new European data sets. Via its Policy Center, SAFE provides policy advice based on state-of-the-art research and maintains a continuous dialogue with high-ranking policy makers in Europe. The Center encompasses an international team of financial economists, micro- and macroeconomists as well as scholars from law, marketing and sociology, all with strong ties to the global academic comm- unity. SAFE is a cooperation of the Center for Financial Studies and Goethe University Frankfurt, funded by the LOEWE research excellence initiative of the State of Hessen.
About the International Center for Insurance Regulation (ICIR) The International Center for Insurance Regulation (ICIR) at Goethe University is recognized as a leading scientific institu- tion fostering independent research on insurance regulation. The ICIR has three objectives: to deliver independent, high- quality international research on insurance regulation and market solutions to regula- tory issues; to provide an international and interdisciplinary platform for scholars, executives of the insurance industry, regulatory authorities, and policy makers to exchange ideas and shape strategic thinking about the future development of insurance and insurance regulation; and to offer students, industry professionals and experts from the regulatory authorities high-quality (executive) education courses on insurance and regulatory topics.
Distinguished Institutions and Scholars Testify to Academic Excellence The “Systemic Risk in the Insurance Industry” workshop is a cooperation of the two Goethe University institutions, the International Center for Insurance Regulation (ICIR) and the Research Center „Sustainable Architecture for Finance in Europe“ (SAFE) in the House of Finance.
DISTINGUISHED INSTITUTIONS AND SCHOLARS TESTIFY TO ACADEMIC EXCELLENCE
www.safe-frankfurt.de
www.icir.de
Goethe University, Campus Westend, Frankfurt
7SYSTEMIC RISK IN THE INSURANCE INDUSTRYMODELS, MEASURES AND REALITY
Organisational Details
ORGANISATIONAL DETAILS
VenueGoethe University FrankfurtForschungskolleg HumanwissenschaftenAm Wingertsberg 461348 Bad Homburg v.d. HöheGermanywww.forschungskolleg-humanwissenschaften.de
ContactProgram and ContentMr. Christian [email protected]+49 (0)69 798 33683
Event OrganisationMs. Martina [email protected]+49 (0)69 798 33686
International Center for Insurance Regulation (ICIR)Goethe UniversityCampus WestendHouse of FinanceTheodor-W.-Adorno-Platz 360629 Frankfurt am MainGermany
AccommodationA block reservation under the reference of “Systemic Risk Workshop” has been made for you at the Park Hotel Bad Homburg (5 minutes walk from Forschungskolleg).
In order to make the reservation binding with the hotel you are kindly asked to reconfirm the hotel’s written reservation until 1 October 2016.
Please note that participants are individually responsible for the reservation and payment of their hotel rooms as well as of any additional expenses.
The room rates include breakfast and taxes:Classic Room (single): 86,00 Euro
Park Hotel Bad HomburgKaiser-Friedrich-Promenade 53 – 5561348 Bad Homburg v. d. HöheGermany+49 (0) 61 72 80 1 – 0 [email protected]://www.parkhotel-bad-homburg.de/
Imprint PublisherInternational Center for Insurance Regulation (ICIR)House of FinanceGoethe University FrankfurtTheodor-W.-Adorno Platz 360629 Frankfurt Germany+49 (0)69 798 33686
[email protected] AuthorsHelmut GründlChristian KubitzaJozefina Kontic Design & IllustrationsAndrea Ruhland PhotosJürgen Lecher (p.2)Uwe Dettmar (p.6)
