In this article, we derive conditions in an imperfect market setting, under which the introduction of a self-supporting insurance guaranty fund improves the position of the policyholders. When a guaranty fund is advantageous given homogeneous firms in the market, all policyholders benefit from it to the same extent, if they have the same underlying risk preferences and are charged identical premiums. In a more realistic heterogeneous setting, the introduction of an insurance guaranty fund is in general no longer beneficial for all policyholders in the same manner. Hence, systematic wealth transfers take place between the policyholders of different insurance companies. As a possible solution, and in order to counteract this effect, we introduce a framework for utility-based fund charges.

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In this paper, we combine a stochastic pension fund model with a traffic light approach to solvency measurement of occupational pension funds in Switzerland. Assuming normally distributed asset returns, a closed-form solution can be derived. Despite its simplicity, we believe the model comprises the essential risk sources needed in supervisory practice. Owing to its ease of calibration, it is well suited for a regulatory application in the fragmented Swiss market, keeping costs of solvency testing at a minimum. We calibrate and implement the model for a small sample of ten Swiss pension funds in order to illustrate its application and the derivation of traffic light signals. In addition, a sensitivity analysis is conducted to identify important drivers of the shortfall probabilities for the traffic light conditions. Although our analysis concentrates solely on Switzerland, the approach could also be applied to similar pension systems.

In this paper, we analyze under which conditions a self-supporting insurance guaranty fund can be beneficial for the policyholders in an incomplete market. Within the analyzed setting, we find out that in general, if existent, the potential advantages from its introduction cannot be fairly divided among the participating insurers. Thereby, we have to expect systematic wealth transfers between the policyholders of different insurance companies. We introduce a framework for utility-based fund charges as a solution to this problem.Zusammenfassung In diesem Artikel wird der Einfluss eines selbstragenden Konkurssicherungsfonds in der Versicherungsbranche auf die Vermögenssituation der Versicherungsnehmer in unvollständigen Märkten analysiert. Innerhalb des untersuchten Rahmens stellen wir fest, dass die etwaigen Vorteile, die ein solcher Fonds mit sich bringen kann, generell nicht verursachungsgerecht alloziert werden. Dies kann zu Vermögenstransfers zwischen den teilnehmenden Unternehmen führen. Als Lösung wird ein nutzenbasierter Ansatz zur Pämienbemessung vorgeschlagen. RemarkThis contribution summarizes the major findings of a working paper written by Rymaszewski et al. (2010) that was presented