Risk Affection and Transmission of News of Conditional Volatility from the Non-Life to Life Insurance Sector

Bulletin of Applied Economics Pub Date : 2020-06-20 DOI:10.47260/bae/725

Apostolos Kiohos

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Abstract

Non- Life and Life Insurance companies are the main expedients of risk transfer and risk management procedure in the economy and the society. This paper examines, in eight worldwide advanced insurance markets, whether there are transmissions of news of conditional volatility from the non-life to life insurance sector. The reason is that, regularly, non-life insurance risks have higher volatility and they are less predictable than life insurance risks. A GJR - GARCH model is used to test these relationships for the period January 1st 1990 to June 28th 2019 using daily trading observations for each listed insurance index. The results suggest that the French and the Australian non-life insurance sectors influence their life insurance sectors to a greater extent than the other countries insurance indices under study. There is also evidence that the leverage effect indicates that bad news concerning the non-life insurance index shows a more intense impact on the volatility of the life insurance index than the good news in the majority of the countries under study. However, bad and good news are symmetrical in French and Australian insurance markets.

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风险影响及条件波动信息从非寿险向寿险的传递

非寿险和寿险公司是经济和社会中风险转移和风险管理程序的主要工具。本文考察了在全球八个发达的保险市场中，是否有条件波动的消息从非寿险部门传递到寿险部门。原因是，通常情况下，非寿险风险具有更高的波动性，而且它们比寿险风险更难以预测。使用GJR - GARCH模型对1990年1月1日至2019年6月28日期间的每个上市保险指数进行每日交易观察，以检验这些关系。结果表明，法国和澳大利亚的非寿险行业对其寿险行业的影响程度大于研究中的其他国家的保险指数。还有证据表明，杠杆效应表明，在研究的大多数国家中，有关非寿险指数的坏消息对寿险指数波动的影响比好消息更大。然而，在法国和澳大利亚的保险市场，坏消息和好消息是对称的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Bulletin of Applied Economics

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