Exploring the market risk profiles of US and European stock insurers

IF 1.1 Q3 BUSINESS, FINANCE

Risk Management and Insurance Review Pub Date : 2023-10-04 DOI:10.1111/rmir.12248

Nicolaus Grochola, Mark J. Browne, Helmut Gründl, Sebastian Schlütter

引用次数: 0

Abstract

Abstract Market risks account for an integral part of insurers' risk profiles. We explore market risk sensitivities of insurers in the United States and Europe. Based on panel regression models and daily market data from 2012 to 2018, we find that sensitivities are particularly driven by insurers' product portfolio. The influence of interest rate movements on stock returns is 60% larger for US than for European life insurers. For the former, interest rate risk is a dominant market risk with an effect that is five times larger than through corporate credit risk. For European life insurers, the sensitivity to interest rate changes is only 44% larger than toward credit default swap of government bonds, underlining the relevance of sovereign credit risk.

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探讨欧美股票保险公司的市场风险概况

市场风险是保险公司风险概况的重要组成部分。我们探讨了美国和欧洲保险公司的市场风险敏感性。基于面板回归模型和2012 - 2018年的日常市场数据，我们发现保险公司的产品组合对敏感性的影响尤为明显。利率变动对股票回报的影响在美国比在欧洲寿险公司大60%。对于前者来说，利率风险是占主导地位的市场风险，其影响是企业信用风险的5倍。欧洲寿险公司对利率变化的敏感性仅比对政府债券信用违约掉期的敏感性高44%，凸显了主权信用风险的相关性。

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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来源期刊

Risk Management and Insurance Review Economics, Econometrics and Finance-Finance

CiteScore

1.90

自引率

0.00%

发文量

期刊介绍： Risk Management and Insurance Review publishes respected, accessible, and high-quality applied research, and well-reasoned opinion and discussion in the field of risk and insurance. The Review"s "Feature Articles" section includes original research involving applications and applied techniques. The "Perspectives" section contains articles providing new insights on the research literature, business practice, and public policy. The "Educational Insights" section provides a repository of high-caliber model lectures in risk and insurance, along with articles discussing and evaluating instructional techniques.