Lehrstuhl für Versicherungswirtschaft und Risikomanagement Friedrich-Alexander-Universität Erlangen-Nürnberg

Prof. Dr. Nadine Gatzert

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Curriculum Vitae (academic)

• 1979 born in Stuttgart
• 1999 Abitur in Stuttgart
• 1999-2005 Diploma studies in Mathematics and Economics (Wirtschaftsmathematik) at the University of Ulm with focus on Mathematical Finance and Actuarial Science (Dipl.-Math. oec.)
• 2003-2004 Ph.D.-Program in Applied Mathematics at the University of Southern California, Los Angeles, USA; Master of Science in Mathematical Finance (M.Sc.)
• 2005-2007 Project manager and research assistant at the Institute of Insurance Economics, University of St. Gallen; 2007 doctoral degree (Dr. oec. (HSG)) at the University of St. Gallen; Title of dissertation: "Implicit Options in Life Insurance: Valuation and Risk Assessment"
• 2007 Ernst-Meyer Price 2007 of the International Association for the Study of Insurance Economics (The Geneva Association) for the doctoral thesis
• 2007-2009 Habilitation and project manager at the Institute of Insurance Economics, University of St. Gallen, 2009 Habilitation in Business Administration and appointment to "Privatdozentin an der Universität St. Gallen"
• 2008/2009 Qualified Actuary of the German Actuarial Association (Aktuarin (DAV))
• 2008 Offer for a Chair (W3) for Business Administration with focus on Financial Services at the Justus-Liebig-University of Giessen
• 2009 Offer for a Chair (W3) for Insurance Economics (Versicherungswirtschaft) at the Friedrich-Alexander-University of Erlangen-Nürnberg
• Since 8/2009 Chair for Insurance Economics and Risk Management at the Friedrich-Alexander-University of Erlangen-Nürnberg
• 2011 Risk Management & Insurance Review Best Perspective Article Award 2010 of the American Risk and Insurance Association (ARIA)
• 2012 Early Career Scholarly Achievement Award of the American Risk and Insurance Association (ARIA)
• Since 10/2012 Dean of Research, School of Business and Economics, FAU
• 2013 Shin Research Excellence Award of the International Insurance Society and The Geneva Association (with A. Bohnert)
  
• 2013 Outstanding Paper Award 2013 (Journal of Risk Finance, Literati Network Awards for Excellence) (with H. Schmeiser)
  

Research Fields

• (Life) Insurance Mathematics
• Alternative Risk Transfer
• Valuation and Management of Financial Guarantees
• Enterprise Risk Management
• Modeling and Management of Mortality and Longevity Risk
• Regulation and Solvency Assessment

Selected Publications and Current Working Papers

Current working papers

• Investing in Infrastructure Projects: Overview and Treatment under Solvency II (2013) [pdf] (with T. Kosub)
• Valuation and Risk Assessment of Participating Life Insurance Products in the Presence of Credit Risk (2013) [pdf] (with M. Martin)
• A Note on the Relevance of Premium Payment Schemes for the Performance of Mutual Funds with Investment Guarantees [pdf] (2013)
• On Risk Charges and Shadow Account Options in Pension Funds (2012) [pdf] (with P. L. Jørgensen)
• Asset and Liability Composition in Participating Life Insurance: The Impact on Shortfall Risk and Shareholder Value (2012) [pdf] (with A. Bohnert, P. L. Jørgensen)
• How Do Price Presentation Effects Influence Consumer Choice? The Case of Life Insurance Products (2010) [pdf] (with C. Huber, H. Schmeiser)
• Ratings in der Lebensversicherung: Systematik und Rechtliche Rahmenbedingungen (2010) [pdf] (with J. Dambacher)

Monographs

• Implicit Options in Life Insurance: Valuation and Risk Assessment, Dissertationsschrift Universität St. Gallen, 2007.
• Volkswirtschaftliche Implikationen des Swiss Solvency Tests, I.VW Schriftenreihe Band 48, 103 S., St. Gallen 2006 (with H. Schmeiser, M. Eling, S. Schuckmann, D. Toplek).

Peer-reviewed publications

• Fair Valuation and Risk Assessment of Dynamic Hybrid Products in Life Insurance: A Portfolio Consideration (2013) [pdf] (with A. Bohnert), forthcoming in The Geneva Papers on Risk and Insurance - Issues and Practice (awarded the Shin Research Excellence Award of the International Insurance Society and The Geneva Association 2013)
• The Effectiveness of Gap Insurance with Respect to Basis Risk in a Shareholder Value Maximization Setting (2011) [pdf] (with R. Kellner), forthcoming in: Journal of Risk and Insurance
• Risk Measurement and Management of Operational Risk in Insurance Companies from an Enterprise Perspective (2012), forthcoming in: Journal of Risk and Insurance [pdf] (with A. Kolb)
• New Life Insurance Financial Products (2012), chapter in Georges Dionne (Ed.), Handbook of Insurance, second edition, Springer, New York; forthcoming in 2013 (with H. Schmeiser)
• Optimal Risk Classification with an Application to Substandard Annuities (2009), in: North American Actuarial Journal Vol. 16 (2012), No. 4, pp. 462-486 [pdf] (with G. Hoermann, H. Schmeiser)
• Quantifying Credit and Market Risk Under Solvency II: Standard Approach Versus Internal Model (2012), in: Insurance: Mathematics and Economics Vol. 51 (2012), No. 3, pp. 649-666 [pdf] (with M. Martin)
• The Impact of Natural Hedging on a Life Insurer's Risk Situation (2010), in: Journal of Risk Finance Vol. 13 (2012), No. 5, pp. 396-423 [pdf] (H. Wesker)
• Mortality Risk and Its Effect on Shortfall and Risk Management in Life Insurance (2011), forthcoming in: Journal of Risk and Insurance [pdf] (with H. Wesker)
• The Merits of Pooling Claims Revisited (2010), in: Journal of Risk Finance Vol. 13 (2012), No. 3, pp. 184-198 [pdf] (with H. Schmeiser) (awarded the Outstanding Paper Award 2013 at the Literati Network Awards of Excellence)
• Creating Customer Value in Participating Life Insurance (2009), in: Journal of Risk and Insurance Vol. 79 (2012), No. 3, pp. 645-670 (with I. Holzmüller, H. Schmeiser) [pdf]
• A Comparative Assessment of Basel II/III and Solvency II (2011), forthcoming in: The Geneva Papers on Risk and Insurance [pdf] (with H. Wesker)
• Performance and Risks of Open-End Life Settlement Funds (2009), in: Journal of Risk and Insurance, Vol. 79 (2012), No. 1, pp. 193-229 (with A. Braun, H. Schmeiser)
• Analyzing Surplus Appropriation Schemes in Participating Life Insurance from the Insurer's and the Policyholder's Perspective (2011), in Insurance: Mathematics and Economics, Vol. 50 (2012), No. 1, pp. 64-78 (with A. Bohnert) [pdf]
• The Influence of Non-Linear Dependencies on the Basis Risk of Industry Loss Warranties (2010), in: Insurance: Mathematics and Economics, Vol. 49 (2011), No. 1, pp. 132-144 (with R. Kellner) [pdf]
• Industry Loss Warranties: Contract Features, Pricing, and Central Demand Factors (previously entitled "What Drives the Demand for Industry Loss Warranties?") (2009), in: Journal of Risk Finance, Vol. 13 (2012), No. 1, pp. 13-31 (with H. Schmeiser) [pdf]
• On the Risk Situation of Financial Conglomerates: Does Diversification Matter? (2008), in: Financial Markets and Portfolio Management, Vol. 25 (2011), No. 1, pp. 3-26 (with H. Schmeiser)
• An Analysis of Pricing and Basis Risk for Industry Loss Warranties (2007), in: Zeitschrift für die gesamte Versicherungswissenschaft Vol. 100 (2011), No. 4, pp. 517-537 (with H. Schmeiser, D. Toplek). [pdf]
• Understanding the Death Benefit Switch Option in Universal Life Policies (2009), in: Journal of Risk and Insurance Vol. 78 (2011), No. 4, pp. 823-852 (with G. Hoermann)
• Risk Management using Index-Linked Catastrophic Loss Instruments (2010), in: Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 100 (2011), No. 1, pp. 141-151 (with R. Kellner)
• On the Valuation of Investment Guarantees in Unit-Linked Life Insurance: A Customer Perspective (2009), in: Geneva Papers on Risk and Insurance, Vol. 36 (2011), No. 1, pp. 3-29 (with C. Huber, H. Schmeiser) [pdf]
• The Secondary Market for Life Insurance in the U.K., Germany, and the U.S.: Comparison and Overview, (2010), in: Risk Management & Insurance Review, Vol. 13, No. 2, pp.279-301 (awarded the Risk Management & Insurance Review Best Perspective Article Award 2010 of the American Risk and Insurance Association (ARIA)) [pdf]
• Pricing and Performance of Mutual Funds: Lookback versus Interest Rate Guarantees, (2009), in: The Journal of Risk, Vol. 11 (2009), No. 4, pp. 31-49 (with H. Schmeiser) [pdf]
• The Impact of the Secondary Market on Life Insurers' Surrender Profits, (2008), in: Journal of Risk and Insurance, Vol. 76 (2009), No. 4, pp. 887-908 (with G. Hoermann, H. Schmeiser) (awarded the Kessler-Price 2009)
• Minimum Standards for Investment Performance: A New Perspective on Non-Life Insurer Solvency, (2009), in: Insurance: Mathematics and Economics, Vol. 43 (2009), No. 1, pp. 113-121, (with M. Eling, H. Schmeiser)
• Combining Fair Pricing and Capital Requirements for Non-Life Insurance Companies, (2007), in: Journal of Banking & Finance, Vol. 32 (2008), No. 10, pp. 2589-2596 (mit H. Schmeiser) (awarded the Kessler-Price 2008)
• The Swiss Solvency Test and its Market Implications, (2008), in: Geneva Papers on Risk and Insurance, Vol. 33 (2008), No. 3, pp. 418-439 (with M. Eling, H. Schmeiser)
• Enterprise Risk Management in Financial Groups: Analysis of Risk Concentration and Default Risk, (2007), in: Financial Markets and Portfolio Management, Vol. 22 (2008), No. 3, pp. 241-258 (with H. Schmeiser, S. Schuckmann)
• Asset Management and Surplus Distribution Strategies in Life Insurance: An Examination with Respect to Risk Pricing and Risk Measurement, in: Insurance: Mathematics and Economics, Vol. 42 (2008), No. 2, pp. 839-849
• Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts, in: The Journal of Risk and Insurance, Vol. 75 (2008), No. 3, pp. 691-712 (with H. Schmeiser)
• Implicit Options in Life Insurance: An Overview, in: Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 98 (2009), No. 2, pp. 141-164
• The Influence of Corporate Taxes on Pricing and Capital Structure in Property-Liability Insurance, in: Insurance: Mathematics and Economics, Vol. 42 (2008), No. 1, pp. 50-58 (with H. Schmeiser)
• Analysis of Participating Life Insurance Contracts: A Unification Approach, in: The Journal of Risk and Insurance, Vol. 74 (2007), No. 3, pp. 547-570 (with A. Kling)
• Risk and Capital Transfer in Insurance Groups, Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97 (2008), No. 4, pp. 463-477 (with H. Schmeiser)

Further publications (non-refereed, conference proceedings, book chapters)

• Segmentierungs- und Tarifierungsstrategien, in: W. Ackermann und H. Schmeiser (Ed.): Versicherungsmanagement, VBV Lehrbuch, 2011 (with H. Schmeiser)
• Das strategische Risikomanagement eines Versicherers, in: W. Ackermann und H. Schmeiser (Ed.): Versicherungsmanagement, VBV Lehrbuch, 2011 (with H. Schmeiser)
• Managing Longevity Risk under Adverse Selection: The Influence of Policyholder Age and Contract Duration (2011),Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 100 (2011), No. 5 (Supplement), pp. 695-706 (mit H. Wesker)
• Risk Assessment of Surplus Appropriation Schemes in Participating Life Insurance, Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 100 (2011), No. 5 (Supplement), pp. 679-687 (mit A. Bohnert)
• How Attractive is the Life Settlements Asset Class from an Investor's Perspective?, erscheint in: I.VW Management-Information 1/2010 (with A. Braun, H. Schmeiser)
• Investment Guarantees in Unit-Linked Life Insurance from the Customer Perspective, (2010), in: Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 99 (2010), No. 5 (Supplement), pp. 627-636 (with C. Huber, H. Schmeiser)
• Finanzgarantien aus Kundensicht, Versicherungswirtschaft, 64 Jg. (2009), Heft 22, S. 1735-1740 (with C. Huber, H. Schmeiser)
• Optimal Rate Classification for Enhanced Annuities, (2009), in: Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 98 (2009), No. 5, pp. 565-577 (with G. Hoermann, H. Schmeiser)
• Risk Assessment of Life Insurance Contracts: A Comparative Study in a Lévy Framework, in: The Solvency II Handbook - Developing Enterprise Risk Management Frameworks in Insurance and Reinsurance Companies (Ed. Marcelo Cruz) (2009) (with S. Kassberger)
• Management von Finanzkonglomeraten: Diversifikation, Risikokonzentration und Conglomerate Discount, Versicherungswirtschaft, 63 Jg. (2008), Heft 24, S. 2067-2071 (with H. Schmeiser)
• Diversification in Financial Conglomerates, I.VW Management-Information 2/2008, S. 30-31 (with H. Schmeiser)
• Bewertung und Risikomanagement von impliziten Optionen in Lebenspolicen, Versicherungswirtschaft, 62. Bd. (2007), Heft 10, S. 769-771 (with H. Schmeiser)
• Implicit Options in Life Insurance: Valuation and Risk Management, in: Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 95 (2006), Supplement, pp. 111-128 (with H. Schmeiser)

Selected Presentations

• 39th Seminar of the European Group of Risk and Insurance Economists, Palma de Mallorca 09/2012
• International Annual Conference of the German Operations Research Society OR 2012, Hannover 09/2012
• American Risk & Insurance Association, Annual Meeting, Minneapolis 08/2012
• Workshop in Capital Markets, Collegio Carlo Alberto, Turin 06/2012
• 12th Symposium on Finance, Banking, and Insurance, Karlsruhe 12/2011
• Munich Behavioral Insurance Workshop, Munich, 12/2011
• 18th Annual Meeting of the German Finance Association (DGF), Regensburg 10/2011
• 38th Seminar of the European Group of Risk and Insurance Economists, Vienna 09/2011
• Seventh International Longevity Risk and Capital Markets Solutions Conference, Frankfurt 09/2011
• American Risk & Insurance Association, Annual Meeting, San Diego 08/2011
• 20th International AFIR Colloquium, Madrid 06/2011
• Jahrestagung des Deutschen Vereins für Versicherungswissenschaft, Berlin 03/2011
• Brownbag Seminar Munich Risk and Insurance Center, Munich 11/2010
• World Risk and Insurance Economics Congress, Singapore 07/2010
• Jahrestagung des Deutschen Vereins für Versicherungswissenschaft, Düsseldorf 03/2010
• Research Seminar of the Finance Research Group, Aarhus School of Business 02/2010
• Economic Risk Seminar, Humboldt-Universität zu Berlin 11/2009
• 36th Seminar of the European Group of Risk and Insurance Economists, Bergen 09/2009
• 3rd International IAA Life Colloquium, Munich 09/2009
• 8th Workshop der GOR-Arbeitsgruppe Finanzwirtschaft und Finanzinstitutionen, Hannover 05/2009
• Jahrestagung des Deutschen Vereins für Versicherungswissenschaft, Berlin 03/2009
• 11th Symposium on Finance, Banking, and Insurance, Karlsruhe 12/2008
• 35th Seminar of the European Group of Risk and Insurance Economists, Toulouse 09/2008
• American Risk & Insurance Association, Annual Meeting, Portland 08/2008
• Jahrestagung des Deutschen Vereins für Versicherungswissenschaft, Dresden 03/2008
• 34th Seminar of the European Group of Risk and Insurance Economists, Köln 09/2007
• 14th Annual Meeting of the German Finance Association (DGF), Dresden 09/2007
• American Risk & Insurance Association, Annual Meeting, Québec (Kanada) 08/2007
• 11th International Congress on Insurance: Mathematics and Economics, Piräus 07/2007
• 37th ASTIN Colloquium, Orlando 06/2007
• 16th International AFIR Colloquium, Stockholm 06/2007
• 1st International IAA Life Colloquium, Stockholm 06/2007
• Swiss Society of Economics and Statistics, Annual Meeting, St. Gallen 03/2007
• 13th Annual Meeting of the German Finance Association (DGF), Oestrich-Winkel 10/2006
• 33. Seminar of the European Group of Risk and Insurance Economists, Barcelona 09/2006
• Operations Research, Annual Meeting, Karlsruhe 09/2006
• American Risk & Insurance Association, Annual Meeting, Washington D.C. 08/2006
• International Symposium on Insurance and Finance, Bergen 05/2006
• 6. Workshop der GOR-Arbeitsgruppe Finanzwirtschaft und Finanzinstitutionen, Ingolstadt 05/2006
• Jahrestagung des Deutschen Vereins für Versicherungswissenschaft, Berlin 03/2006

Funded Research Projects

• Implicit Constraints, Incentives, and Systemic Risk Imposed by New Insurance Regulation, Förderung von der Deutschen Forschungsgemeinschaft (DFG) und dem Schweizerischen Nationalfonds (SNF), 2013-2015, mit Prof. Dr. Martin Eling und Prof. Dr. Hato Schmeiser, Institut für Versicherungswirtschaft, Universität St. Gallen, Schweiz
  
• Market Consistent Valuation and Solvency Assessment in the Insurance Industry, Förderung von der Deutschen Forschungsgemeinschaft (DFG), 2011-2013, Forschungskooperation mit Prof. Peter Løchte Jørgensen, Ph.D., Head of Finance Research Group an der Aarhus School of Business, Dänemark
• Challenges in the Life Insurance Industry with Respect to Pricing and Risk Measurement, Grundlagenforschungsprojekt Nr. 120730 des Schweizerischen Nationalfonds (SNF), 2008-2010 (mit H. Schmeiser), Forschungskooperation mit J. Schmit und H. Gründl
• Forschungsschwerpunkt Wealth and Risk an der Universität St. Gallen, 2006-2008
• Implicit Options in Life Insurance Contracts: Valuation and Risk Management, Grundlagenforschungsfonds der Universität St. Gallen, 2006-2007 (mit H. Schmeiser)

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