The Experts below are selected from a list of 262077 Experts worldwide ranked by ideXlab platform
Nadine Gatzert - One of the best experts on this subject based on the ideXlab platform.
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risk and Value Based Management for non life insurers under solvency constraints
European Journal of Operational Research, 2018Co-Authors: Johanna Eckert, Nadine GatzertAbstract:Abstract The aim of this paper is to study optimal risk- and Value-Based Management decisions regarding a non-life insurer's investment strategy by maximizing shareholder Value Based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by deriving analytical solutions and by explicitly accounting for the policyholders’ willingness to pay depending on their risk sensitivity Based on the insurer's reported solvency status, which will be of great relevance under Solvency II. We further investigate the impact of the risk-free interest rate, (non-linear) dependencies between assets and liabilities, distributional assumptions as well as reinsurance. One main finding is that the consideration of default-risk-driven premiums is vital for optimal Management decisions, since, e.g., the target ruin probability implying a higher shareholder Value differs for various risk sensitivities of the policyholders. Furthermore, in the present setting, proportional reinsurance increases shareholder Value only for non-risk sensitive policyholders.
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risk and Value Based Management for non life insurers under solvency constraints
Social Science Research Network, 2017Co-Authors: Johanna Eckert, Nadine GatzertAbstract:The aim of this paper is to propose an internal model for a non-life insurer and to apply this model for deriving optimal risk- and Value-Based Management decisions regarding the insurer’s investment strategy, which contribute to increasing shareholder Value. We thereby considerably extend previous work by explicitly accounting for the policyholders’ willingness to pay depending on their risk sensitivity Based on the insurer’s reported solvency status, which will be of great relevance under Solvency II. We further study the impact of the risk-free interest rate on attainable and admissible risk-return asset combinations, dependencies between assets and liabilities as well as the influence of reinsurance contracts, and we derive analytical solutions for maximizing shareholder Value. One main finding is that the consideration of the policyholders’ willingness to pay depending on their risk sensitivity towards the insurer’s reported solvency status is vital for optimal Management decisions and that in the present setting, reinsurance increases shareholder Value only for non-risk sensitive policyholders. Our results further emphasize that low interest rates strongly restrict the insurer’s investment opportunities.
Seppo Ikaheimo - One of the best experts on this subject based on the ideXlab platform.
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Value Based Management practices some evidence from the field
Management Accounting Research, 2003Co-Authors: Teemu Malmi, Seppo IkaheimoAbstract:Value Based Management (VBM), and especially Economic Value Added (EVA™),1 has attracted considerable interest among organisations in recent years. These concepts can be applied to capital budgeting, valuation, Management control, and incentive compensation. Despite the growing number of applications, we have only limited independent research-Based evidence on how these concepts are actually applied. However, this can be considered not only an essential step in research investigating the benefits of VBM [cf. Ittner, C.D., Larcker, D.F.,1998. Innovations in performance measurement: trends and research implications. Manage. Acc. Res. 10, 205–238], but also on its limitations. With the aid of six Finnish-Based organisations from five different industries, we illustrate the diversity of actual use of VBM. Our results indicate that for some organisations VBM is merely rhetoric, while for others it seems to have an impact on both decision making and control system, taking various forms from one firm to another. In some organisations, application of VBM is restricted only to the highest levels of hierarchy, whereas in others it covers the whole organisation. However, in none of the studied organisations is VBM applied in as comprehensive a manner as suggested in the normative literature. This multitude of different ways in which VBM is actually used in practice raises some problems regarding the study of VBM and its benefits. In particular, the adoption of EVA™, as measured with EVA™ Based bonuses [see e.g. Wallace, J.S., 1997. Adopting residual income-Based compensation plans: do you get what you pay for? J. Acc. Econ. 24, 275–300; Kleiman, R., 1999. Some evidence on EVA companies. J. Appl. Corp. Finance 12, 80–91], is seriously challenged.
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Value Based Management practices some evidence from the field
Social Science Research Network, 2003Co-Authors: Teemu Malmi, Seppo IkaheimoAbstract:Value Based Management (VBM), and especially Economic Value Added (EVA), has attracted considerable interest among organisations in recent years. These concepts can be applied to capital budgeting, valuation, Management control and incentive compensation. Despite the growing number of applications, we have only limited independent research-Based evidence on how these concepts are actually applied. However, this can be considered not only an essential step in research investigating the benefits of VBM (cf. Ittner & Larcker, 1998), but also on its limitations. With the aid of six Finnish-Based organisations from five different industries, we illustrate the diversity of actual use of VBM. Our results indicate that for some organisations VBM is merely rhetoric, while for others it seems to have an impact on both decision-making and control system, taking various forms from one firm to another. In some organisations, application of VBM is restricted only to the highest levels of hierarchy, whereas in others it covers the whole organisation. However, in none of the studied organisations is VBM applied in as comprehensive a manner as suggested in the normative literature. This multitude of different ways in which VBM is actually used in practice raises some problems regarding the study of VBM and its benefits. In particular, the adoption of EVA, as measures with EVA Based bonuses (see e.g. Wallace, 1997; Kleiman, 1999) is seriously challenged. practice
Heinrich Kuhn - One of the best experts on this subject based on the ideXlab platform.
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designing decision support systems for Value Based Management a survey and an architecture
Decision Support Systems, 2012Co-Authors: Gerd J Hahn, Heinrich KuhnAbstract:Value-Based Management (VBM) concepts are prevalent in theory and practice since shareholder Value creation is commonly considered the paramount business goal. However, VBM mainly applies data-driven concepts to support decision-making, disregarding model-driven approaches. This paper develops a comprehensive approach to designing model-driven DSS for VBM. First, we derive a conceptual architecture for Integrated Business Planning (IBP) as the foundation for a model-driven approach to VBM. Second, we present a unified modeling approach for Value-Based performance and risk optimization that implements Value Added (xVA) performance metrics and applies robust optimization methods to mitigate risk impact.
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Optimising a Value-Based Performance Indicator in Mid-Term Sales and Operations Planning
Journal of the Operational Research Society, 2011Co-Authors: Gerd J Hahn, Heinrich KuhnAbstract:Economic Value Added (EVA®) and corresponding Value driver trees are prevalent frameworks of Value-Based Management to measure and analyse shareholder Value creation. However, they are explanatory models from an operations research perspective and do not provide decision support for performance optimisation. In this paper, we develop a comprehensive Value-Based decision framework for mid-term sales and operations planning (S&OP) in the supply chain implementing EVA as the objective function. The pivotal element of our framework is a decision-oriented extension of EVA-Based Value driver trees bridging the gap to the decision variables of S&OP as the operational performance levers. We utilise a numerical example to highlight the significant improvement potential due to the Value-Based optimisation approach. Working capital Management emerges as the major mid- to short-term Value driver in the supply chain.
Johanna Eckert - One of the best experts on this subject based on the ideXlab platform.
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risk and Value Based Management for non life insurers under solvency constraints
European Journal of Operational Research, 2018Co-Authors: Johanna Eckert, Nadine GatzertAbstract:Abstract The aim of this paper is to study optimal risk- and Value-Based Management decisions regarding a non-life insurer's investment strategy by maximizing shareholder Value Based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by deriving analytical solutions and by explicitly accounting for the policyholders’ willingness to pay depending on their risk sensitivity Based on the insurer's reported solvency status, which will be of great relevance under Solvency II. We further investigate the impact of the risk-free interest rate, (non-linear) dependencies between assets and liabilities, distributional assumptions as well as reinsurance. One main finding is that the consideration of default-risk-driven premiums is vital for optimal Management decisions, since, e.g., the target ruin probability implying a higher shareholder Value differs for various risk sensitivities of the policyholders. Furthermore, in the present setting, proportional reinsurance increases shareholder Value only for non-risk sensitive policyholders.
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risk and Value Based Management for non life insurers under solvency constraints
Social Science Research Network, 2017Co-Authors: Johanna Eckert, Nadine GatzertAbstract:The aim of this paper is to propose an internal model for a non-life insurer and to apply this model for deriving optimal risk- and Value-Based Management decisions regarding the insurer’s investment strategy, which contribute to increasing shareholder Value. We thereby considerably extend previous work by explicitly accounting for the policyholders’ willingness to pay depending on their risk sensitivity Based on the insurer’s reported solvency status, which will be of great relevance under Solvency II. We further study the impact of the risk-free interest rate on attainable and admissible risk-return asset combinations, dependencies between assets and liabilities as well as the influence of reinsurance contracts, and we derive analytical solutions for maximizing shareholder Value. One main finding is that the consideration of the policyholders’ willingness to pay depending on their risk sensitivity towards the insurer’s reported solvency status is vital for optimal Management decisions and that in the present setting, reinsurance increases shareholder Value only for non-risk sensitive policyholders. Our results further emphasize that low interest rates strongly restrict the insurer’s investment opportunities.
Michael Wolff - One of the best experts on this subject based on the ideXlab platform.
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Value Based Management and merger acquisition returns a multi level contingency model
European Accounting Review, 2019Co-Authors: Sebastian Firk, Franz Maybuechen, Jana Oehmichen, Michael WolffAbstract:AbstractWhereas the performance effects of Value-Based Management (VBM) have been intensively addressed in previous research, little is known regarding whether—and which—specific managerial decisio...
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drivers of Value creation the role of Value Based Management and underlying institutions
Management Accounting Research, 2016Co-Authors: Sebastian Firk, Sebastian Schrapp, Michael WolffAbstract:Abstract While the performance effect of Value-Based Management (VBM) has been debated in practice and academia, recent research suggests that little is known about contingency factors influencing this effect. In this study, we contribute to the understanding of contingencies that could explain variations in VBM performance outcomes. Specifically, we (1) test whether VBM relates to higher firm performance, and (2) we examine the external institutional conditions that may magnify the performance effect of VBM. We empirically analyze our research question using data on 4288 firm-years of firms from the MSCI Europe Index and the S&P 500 Index between 2005 and 2010. After controlling for various possible confounding effects, we find that VBM relates to higher firm performance and provide evidence that complementary external institutions at the firm and national levels amplify the performance effect of VBM. Furthermore, our findings exhibit an interrelation between external institutions and indicate a complementary relationship between VBM, financially-oriented ownership, and national shareholder orientation, increasing Value creation.
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considering the shareholder perspective Value Based Management systems and stock market performance
Review of Managerial Science, 2011Co-Authors: Marc Steffen Rapp, Daniel A Schellong, Maximilian Schmidt, Michael WolffAbstract:We empirically study the use of Value-Based Management systems in listed German firms and examine implications for firms’ stock market performance. Using a novel, hand-collected data set covering 1,083 firm years from 2002 to 2008, we find that Value-Based Management systems become increasingly common. Specifically, in 2008 42% of our sample firms have implemented such a system. In the empirical analysis, we find that firms implementing Value-Based Management systems earn both statistically significant and economically substantial abnormal stock market returns measured within a 2-year adoption phase. These excess returns are not jeopardized by poor post-adoption returns. In the analysis, we carefully control for risk and account for endogeneity concerns. Overall, our findings support the view that shareholders consider the adoption of a Value-Based Management system as a credible signal that Management will focus on shareholder interests and that such systems actually increase shareholder Value.
