Deze rubriek wordt verzorgd door prof. mr. J. Borgesius.

Boekaankondigingen

Actuariaat en verzekeringsstatistiek

Least-Squares Monte Carlo Methods in the Life Insurance Sector
A-S. Krah
Kaiserslautern: Technische Universität Kaiserslautern 2021, 201 p.
kluedo.ub.uni-kl.de

Proefschrift, op 30 april 2021 verdedigd aan de Technische Universität Kaiserslautern (promotores: prof. R. Korn, prof. R. Werner).

Life insurance companies are asked by the Solvency II regime to retain capital requirements against economically adverse developments. This ensures that they are continuously able to meet their payment obligations towards the policyholders. When relying on an internal model approach, an insurer’s solvency capital requirement is defined as the 99.5% value-at-risk of its full loss probability distribution over the coming year. In the introductory part of this thesis, we provide the actuarial modeling tools and risk aggregation methods by which the companies can accomplish the derivations of these forecasts.

Since the industry still lacks the computational capacities to fully simulate these distributions, the insurers have to refer to suitable approximation techniques such as the least-squares Monte Carlo (LSMC) method. The key idea of LSMC is to run only a few wisely selected simulations and to process their output further to obtain a risk-dependent proxy function of the loss. We dedicate the first part of this thesis to establishing a theoretical framework of the LSMC method. We start with how LSMC for calculating capital requirements is related to its original use in American option pricing. Then we decompose LSMC into four steps. In the first one, the Monte Carlo simulation setting is defined. The second and third steps serve the calibration and validation of the proxy function, and the fourth step yields the loss distribution forecast by evaluating the proxy model. When guiding through the steps, we address practical challenges and propose an adaptive calibration algorithm. We complete with a slightly disguised real-world application.

The second part builds upon the first one by taking up the LSMC framework and diving deeper into its calibration step. After a literature review and a basic recapitulation, various adaptive machine learning approaches relying on least-squares regression and model selection criteria are presented as solutions to the proxy modeling task. The studied approaches range from ordinary and generalized least-squares regression variants over GLM and GAM methods to MARS and kernel regression routines. We justify the combinability of the regression ingredients mathematically and compare their approximation quality in slightly altered real-world experiments. Thereby, we perform sensitivity analyses, discuss numerical stability and run comprehensive out-of-sample tests. The scope of the analyzed regression variants extends to other high-dimensional variable selection applications.

Life insurance contracts with early exercise features can be priced by LSMC as well due to their analogies to American options. In the third part of this thesis, equity-linked contracts with American-style surrender options and minimum interest rate guarantees payable upon contract termination are valued. We allow randomness and jumps in the movements of the interest rate, stochastic volatility, stock market and mortality. For the simultaneous valuation of numerous insurance contracts, a hybrid probability measure and an additional regression function are introduced. Furthermore, an efficient seed- related simulation procedure accounting for the forward discretization bias and a validation concept are proposed. An extensive numerical example rounds off the last part.

Verzekeringseconomie

Reverse Stress Testing and the Transfer of Risks via Insurance
M. Grimwade
in: M. Grimwade, Ten Laws of Operational Risk: Understanding its Behaviours to Improve its Management,
Hoboken NJ, John Wiley & Sons 2022, p. 211-227
ISBN 9781119841357

This chapter utilises the business profile of firms to identify key vulnerabilities that could make a firm's business model unviable. It considers the criteria as to whether an Operational Risk event can be transferred via insurance policies to third parties, via the 9th Law: Transference, Transformation and Conservation. The PRA requires firms, as part of their business planning and risk management obligations, to conduct reverse stress testing, i.e. scenarios that test their business plans to failure. Firms that consistently make losses will eventually fail without continued support from key stakeholders. Insurance policies can transfer a portion of the financial consequences of a range of events, including mistakes and omissions; malicious acts; third-party failures and natural disasters, from a firm exposed to the risks to an insurance company. Reverse stress testing and procuring insurance both involve firms making decisions based upon assessments of the likelihood and severity of specific, very remote events.

Modelling Unemployment Insurance
A Survey
P. Potestio
Cham: Springer 2022, IX en 174 p.
ISBN 9783030913182

This book examines unemployment insurance policy through a survey, taking stock of the theoretical work in the field of labor economics. It closely follows and assesses developments in the modelling of optimal unemployment insurance (UI) policies, beginning with the initial analytical findings produced in the second half of the 1970s. A main part of the survey is devoted to the two basic strands of analysis about, respectively, the optimal level of UI benefits and the optimal time profile of UI policy.

Public Medical Insurance Reforms in China
X. Ma
Singapore: Springer 2022, XXV en 246 p.
ISBN 9789811677892

This book investigates public medical insurance reform in China and studies its effects from both institutional and empirical study perspectives. It provides the reader with academic evidence for understanding the transformation of public medical insurance and its effect on the utilization of healthcare services, expenditure for medical care, individuals’ financial portfolio allocation, and well-being.

Risk Management
Insights from Different Settings
C. Florio, M. Wieczorek-Kosmala, P.M. Linsley, P. Shrives (Eds.)
Cham: Springer 2022, XXI en 270 p.
ISBN 9783030883737

This volume offers new, convincing empirical evidence on topical risk- and risk management-related issues in diverse settings, using an interdisciplinary approach. The authors advance compelling arguments, firmly anchored to well-accepted theoretical frameworks, while adopting either qualitative or quantitative research methodologies. The book presents interviews and surveys with risk managers to gather insights on risk management and risk disclosure in practice. Additionally, the book collects and analyzes information contained in public reports to capture risk disclosure and perceptions on risk management impacts on companies’ internal organization. It sheds light on financial and market values to understand the effect of risk management on actual and perceived firm’s performance, respectively. Further, it examines the impacts of risk and risk management on society and the economy.

Role of Reinsurance in the World
Case Studies of Eight Countries
L. Caruana de las Cagigas, A. Straus (Eds.)
Cham: Springer 2022, XX en 300 p.
ISBN 9783030740016

Deze bundel bevat over Nederland een bijdrage van B.P.A. Gales, Reinsurance in the Netherlands from 1800 till 1950: A Failure?’ (p. 45-88, inclusief een omvangrijke literatuurlijst).

Was reinsurance a case of failure in Dutch insurance? This chapter describes the cumbersome development of reinsurance between the mid-nineteenth century and the mid-twentieth one. Focus is upon life insurance, but non-life is touched upon too. Standard risks, risks insurable nationally, dominate. An institutional perspective is taken. Reinsurance is discussed as an institution, which proved not to be superior to classic co-insurance. During the nineteenth century, insurers developed an interest in reinsurance as a special market or as a market for specialists. That interest, however, had little effect. The interest in reinsurance was embedded in other, more prevailing concerns. Furthermore, externalities were a problem. All this created matching problems and a problem of collective action. Internationally oriented life-insurers opted for nationally organized reinsurance. Nationally oriented insurers preferred international specialists. Insurers considered reinsurance as unavoidable, but at the same time disliked the business. By 1914, a compromise emerged within this special, but limited market. That compromise was lasting. About half of the risks were pooled nationally, half transferred to specialist foreign multinationals.

Verzekeringsrecht

Handboek Consumentenrecht
Een overzicht van de rechtspositie van de consument
E.H. Hondius, V. Mak (red.)
Zutphen: Uitgeverij Paris 2020 (vierde druk), 750 p.
ISBN 9789462512108

Deze bundel bevat de volgende (28) bijdragen:

• Ontstaan en positie van het consumentenrecht (mr. G.J. Rijken)
• Europees consumentenrecht (prof. mr. J.G.J. Rinkes)
• Circulaire economie (Evelyne Terryn)
• De deeleconomie (R. Koolhoven)
• De Richtlijn consumentenrechten (mw. prof. mr. drs. C.M.D.S. Pavillon)
• Algemene voorwaarden bij consumentenovereenkomsten (prof. mr. M.B.M. Loos)
• Consumentenkoop van roerende zaken (mr. P. Klik)
• Consumenten en de koop van of toegang tot digitale inhoud (D.J.B. Op Heij)
• Consumenten en de koop van onroerende zaken (prof. mr. M.M. van Rossum)
• Consumenten en de koop van nieuwbouwwoningen (mw. mr. dr. E.M. Bruggeman)
• Consumenten en aanneming van werk (mw. prof. mr. S. van Gulijk)
• Dienstverlening: de overeenkomst van opdracht (mr. J.J. Dammingh)
• Pakketreizen en gekoppelde reisarrangementen (mr. S.S. van Kampen)
• Verzekeringsovereenkomst (mw. mr. M.M.R. van Ardenne-Dick en mw. prof. mr. N. van Tiggele-van der Velde)
• Europese consumentenbescherming op financiële markten (mw. prof. mr. O.O. Cherednychenko en mr. dr. M.W. Wallinga)
• Telecommunicatierecht (prof. dr. N.A.N.M. van Eijk)
• Productaansprakelijkheid en productveiligheid (mw. mr. C.J.M. van Doorn en mw. mr. S.B. Pape)
• Warenwet (mr. ing. H.L. Heeres)
• Handelspraktijken en reclame (mr. dr. R.W. de Vrey)
• Timeshare (mr. J.M. Milo)
• Het mededingingsrecht en de consument (mw. prof. mr. A. Gerbrandy en prof. mr. S.A. de Vries)
• Gelijke behandeling (prof. mr. P.R. Rodrigues)
• Privacy van consumenten (prof. dr. Frederik Zuiderveen Borgesius)
• Burgerlijk procesrecht voor de individuele consument (prof. mr. A.W. Jongbloed)
• De geschillencommissies (prof. mr. E.H. Hondius)
• Collectieve acties (mr. W.J. Brants en mw. mr. P.M.M. van der Grinten)
• De ACM als toezichthouder in consumentenzaken (C.A. Hage)
• Internationale consumentenovereenkomst (mw. prof. mr. X.E. Kramer en mw. dr. E.A.G. van Schagen)

Bestuursrecht in crisistijd
Preadviezen voor de vergadering van de VAR – Vereniging voor bestuursrecht 2021, uitgebracht door J.P. Loof, J. Korzelius, J.E. van den Brink en M. van der Steen
Den Haag: Boom juridisch 2021, 392 p.
ISBN 9789462909861

Zie in verband met verzekering vooral het preadvies van prof. mr. J.E. van den Brink ‘Publiek geld als pleister op de coronawonde’ (p. 137-338).

Mutualism in the 21st century
The why, when, and how behind successful risk-sharing institutions
E. Vriens
Eigen uitgave 2021, 217 p.
ISBN 9789464165159
Utrecht University Repository
dspace.library.uu.nl

Proefschrift, op 7 mei 2021 verdedigd aan de Universiteit Utrecht (promotores: prof. V.W. Buskens, prof. M. De Moor).

De civielrechtelijke inbedding van het besluiten-aansprakelijkheidsrecht
Onrechtmatigheid, causaliteit, redelijke toerekening en relativiteit in het besluitenaansprakelijkheidsrecht
Ph. Fruytier
Deventer: Wolters Kluwer 2021, 500 p.
ISBN 9789013165234

Proefschrift, op 9 november 2021 verdedigd aan de Radboud Universiteit Nijmegen (promotores: prof. R. Schutgens, mevr. prof. C. Klaassen).

Fiscale Europeesrechtelijke aspecten van grensoverschrijdend pensioenverkeer
Een onderzoek naar Nederlandse fiscale wet- en regelgeving betreffende werknemers en pensioenuitvoerders
E.A.P. Schouten
Uitgave in eigen beheer 2021
epubs.ogc.nl/?epub=e.schouten&k=b01673e4-eb42-4771-9b3b-025641^e5bc0d

Proefschrift, op 12 november 2021 verdedigd aan de Vrije Universiteit Amsterdam (promotores: prof. H.M. Kappelle, prof. E. Lutjens).

Beschadigd vertrouwen
Vertrouwenwekkend schadebeleid na door de overheid gefaciliteerde schade
G.M. Kuipers
Deventer: Wolters Kluwer 2021, 708 p.
ISBN 9789013166118

Proefschrift, op 7 december 2021 verdedigd aan de Universiteit Leiden (promotores: prof. W. den Ouden, prof. M.A. van der Steen).

The regime for international air carrier liability
To what extent has the envisaged uniformity of the 1999 Montreal Convention been achieved?
C.I. Grigorieff
Leiden: Universiteit Leiden 2021
hdl.handle.net/1887/3240115

Proefschrift, op 17 november 2021 verdedigd aan de Universiteit Leiden (promotores: prof. P.M.J. Mendes de Leon, prof. V. Correia).

In order to answer the research question, the dissertation is divided into four parts. Part I examines the ratio legis of the 1999 Montreal Convention to determine to what extent uniformity is a principal aim of the convention that must be pursued in its application. Part II analyses the factors which already existed at the time of the signing and prevented its uniform application. Part III scrutinizes the fragmentation factors that only appeared during the lifespan of the convention. Part IV makes different suggestions to improve the uniform application of the convention and to reduce its fragmentation. The author concludes the research with a list of not less than 10 recommendations to protect the aim of uniformity of the international air carrier liability regime established by the convention.

Law of Reinsurance
G.S. Staring, D. Hansell
Los Angeles: Clark Boardman Callaghan (Thomson Reuters) 2021, 844 p.
ISBN 9781539292562

This book provides a solid foundation for understanding the highly specialized field of American reinsurance law. Topics are thoroughly illustrated by cases cited throughout the text and cover issues such as: the history and background of reinsurance, key issues in American and English law, the extent and nature of government regulation, roles and responsibilities of brokers, agents, and intermediaries,  the principle of good faith, the law of representations and disclosures in placing reinsurance, commencement and termination of risk, interpretation of terms, reinsurance arbitration, losses and liabilities, reinsurance claims and recovery, and insurance and reinsurance insolvency.

Allocation of Losses in Complex Insurance Coverage Claims
S.M. Seaman, J.R. Schulze
Los Angeles: Legal Works (Thomson Reuters) 2021 (10^e druk), 2010 p.
ISBN 9781539288589

The Law of Insurance Broking
Ch. Henley, S. KempLonden: Sweet & Maxwell 2021 (3^e druk)
ISBN 9780414102125

Riley on Business Interruption Insurance
D. Glynn, T. Rogers
Londen: Sweet & Maxwell 2021 (11^e druk)
ISBN 9780414088450

Rapporten en verslagen

Mensenrechten als ijkpunten van artificiële intelligentie
Working Paper WRR

E. Hirsch Ballin
Den Haag: Wetenschappelijke Raad voor het Regeringsbeleid 2021, 46 p.
wrr.nl

Cross-border IORPs
European Insurance and Occupational Pensions Authority
EIOPA-BoS-21/525 (3 december 2021)
Frankfurt am Main: EIOPA 2021, 17 p.
eiopa.europa.eu

33 cross-border IORPs were active in the European Economic Area (EEA) at the end of 2020. This number represents a substantial drop compared to the 73 active undertakings in 2017, primarily reflecting the United Kingdom’s departure from the European Union. The analysis shows that: - most cross-border IORPs are still concentrated in a small number of countries, - the number of host countries grew,- Belgium remains the home country with the largest geographical spread of cross-border activities, covering 12 countries, while the Netherlands is the most active host country,- 14 member states do not benefit from the single market for IORPs. Cross-border IORPs within the EEA have approximately 70.000 members and beneficiaries and manage assets worth around €11.3 billion. This represents 0.2% of all members and beneficiaries and 0.4% of total assets of IORPs in the region. Looking at the type of cross-border IORPs, the report shows that Defined Benefit (DB) schemes are still widespread. Furthermore, it reveals that multi-employer cross-border IORPs are on the rise.

Failures and near misses in insurance
Overview of recovery and resolution actions and cross-border issues
European Insurance and Occupational Pensions Authority
EIOPA-BoS-21/394 (8 oktober 2021)
Frankfurt am Main: EIOPA 2021, 40 p.
eiopa.europa.eu

This report now comprises altogether 219 relevant cases from the European insurance sector. The report takes stock of the most common courses of action taken by insurers and national competent authorities (NCAs) during the recovery and resolution phases of failures and near misses. The database underpinning the report pools valuable information about the impact of the various measures implemented, which serve to improve supervisory knowledge in the fields of failure prevention and the reduction of eventual losses. The analysis also looks at cross-border issues and finds that while they account for only a small number of the failures reported so far, losses suffered by policyholders seem to occur more often than in domestic insurance failures. The findings of the report lend further support to EIOPA’s views on the need for a common recovery and resolution framework at the EU level and for a minimum degree of harmonisation across the network of national Insurance Guaranty Schemes (IGSs) to minimise the impact of failures and better protect policyholders.

Opinion on the supervisory reporting of costs and charges of IORPs
European Insurance and Occupational Pensions Authority
EIOPA-BoS-21/426 (7 oktober 2021)
Frankfurt am Main: EIOPA 2021, 20 p.
eiopa.europa.eu

Costs and charges can have a substantial cumulative impact: a 1% increase in costs can have a 20% impact on the amount of pension received. Hence, in order to protect members and beneficiaries, a transparent and comprehensive view of all costs and charges is essential for IORPs, social partners and supervisors. To address this, the Opinion sets out expectations on the supervisory reporting of costs and charges of IORPs. It provides a classification of costs to be reported to national supervisors and introduces a practical guidance for supervisors and IORPs - complete with reporting templates - on how to collect data. It lays out principles for the compilation of cost information and stipulates that not only direct but also indirect costs incurred by asset managers and investment funds should be reported. The Opinion also gives guidance on the supervisory use of cost data. National supervisors are expected to assess the cost efficiency of IORPs, the affordability for sponsors and the value for money offered to members and beneficiaries. The outcomes of the comparative analysis should be considered within the supervisory review process, including in the dialogues with the IORPs’ management boards.

Opinion on the supervision of long-term risk assessment by IORPs providing defined contribution schemes
European Insurance and Occupational Pensions Authority
EIOPA-BoS-21/429 (7 oktober 2021)
Frankfurt am Main: EIOPA 2021, 15 p.
eiopa.europa.eu

Members are more likely to suffer adverse consequences if risks crystallise in defined contribution (DC) pension products compared with defined benefit products. The supervisory approach to DC products needs to ensure that risks borne by DC IORPs are appropriately monitored and managed. The Opinion fosters consistent supervisory practices by providing guidance on two aspects of risk management by DC IORPs. Firstly, the Opinion calls for a greater use of quantitative elements when managing operational risks, supplementing EIOPA’s existing opinion. Secondly, it expects DC IORPs to conduct long-term risk assessments by using projections of members’ future retirement income, comparing the results with the established risk tolerance of the members and beneficiaries, and as appropriate considering the IORP’s investment strategies.

Op weg naar een duurzame balans
Integratie van duurzaamheidsrisico’s in de kernprocessen van de financiële sector

R. van As, J. Dijk, L. van der Jagt, D. Piljic, J. van Toor, A. Zwemstra
DNB-rapport 7 december 2021
Amsterdam: De Nederlandsche Bank N.V. 2021, 46 p.
dnb.nl

Klimaatverandering en de overgang naar een duurzame economie gaan gepaard met risico's voor financiële instellingen, die zij vanuit het oogpunt van integere en beheerste bedrijfsvoering adequaat moeten beheersen. In dat perspectief brengt De Nederlandsche Bank (DNB) in dit rapport in kaart in welke mate duurzaamheidsrisico’s zijn geïntegreerd in de kernprocessen van Nederlandse financiële instellingen en waar ruimte is voor verbetering.

Innovatie en regelgeving:
kansen en obstakels
DNB-rapport 3 augustus 2021
Amsterdam: De Nederlandsche Bank N.V. 2021, 27 p.
dnb.nl

Innovatie, technologische ontwikkelingen en de opkomst van nieuwe partijen veranderen de financiële sector ingrijpend. Gedreven door onder andere technologie en marktontwikkelingen raakt de waardeketen van financiële producten en diensten steeds meer ontvlochten. Dit roept de vraag op of financiële wet- en regelgeving en toezicht voldoende toegesneden zijn op deze veranderingen. Het rapport “Innovatie en regelgeving: kansen en obstakels”bevat de belangrijkste bevindingen en vervolgstappen uit een verkennend onderzoek naar obstakels en potentiële verbeteringen in het toezichtrechtelijk kader in relatie tot innovatie. DNB heeft dit initiatief uitgevoerd in samenwerking met brancheorganisaties, individuele financiële instellingen (banken, verzekeraars, betaalinstellingen en elektronischgeldinstellingen) en toezichthouders.

Personaliseren van prijs en voorwaarden in de verzekeringssector
Een verkennende studie
Stichting Autoriteit Financiële Markten
Amsterdam: AFM 2021, 34 p.
afm.nl

De toenemende beschikbaarheid van data, geavanceerdere modellen en algoritmes stellen verzekeraars in staat om premies en polisvoorwaarden te personaliseren. Verzekeraars kunnen personalisatie toepassen voor een verfijndere inschatting of verlaging van de schadelast (kostencomponent van de premie) of het maximaliseren van de winst (margecomponent van de premie). De AFM brengt de mogelijkheden en ontwikkelingen in kaart, identificeert de kansen en risico’s en formuleert op basis hiervan overwegingen ten aanzien van differentiatie van premies, voor zowel individuele verzekeraars als de verzekeringssector en beleidsmakers.