发布求助
文献互助 智能选刊 最新文献

Journal of Risk and Insurance最新文献

筛选
英文 中文
Issue Information: Journal of Risk and Insurance 4/2025 发行信息：Journal of Risk and Insurance 4/2025
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-11-17 DOI: 10.1111/jori.12478
{"title":"Issue Information: Journal of Risk and Insurance 4/2025","authors":"","doi":"10.1111/jori.12478","DOIUrl":"https://doi.org/10.1111/jori.12478","url":null,"abstract":"","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"853-855"},"PeriodicalIF":1.7,"publicationDate":"2025-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.12478","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533590","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Gambling for market recovery? European insurers' corporate bond investments during market stress 赌市场复苏？欧洲保险公司在市场压力下的公司债券投资
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-11-04 DOI: 10.1111/jori.70028
Marcel Beyer
{"title":"Gambling for market recovery? European insurers' corporate bond investments during market stress","authors":"Marcel Beyer","doi":"10.1111/jori.70028","DOIUrl":"https://doi.org/10.1111/jori.70028","url":null,"abstract":"<p>Using daily stock market data for European insurers, I investigate how a stock market contraction, as experienced during the COVID-19 pandemic, affects insurers' credit risk allocation of their corporate bond portfolio. I find that insurers shift their portfolio holdings pro-cyclically towards lower credit risk assets in the first month of the market contraction. As the crisis progresses, I find evidence for counter-cyclical, riskier investment behavior by European insurers, especially in high-yield instruments, that can neither be explained by credit rating downgrades of held bonds nor by hedging with CDS derivatives. This counter-cyclical investment behavior cannot be observed for US firms, which provides evidence for a difference in investment behavior between US and European insurers. The observed investment behavior of European insurers could be beneficial for systemic stability by attenuating price declines through insurance liquidity provision, but excessive risk-taking by insurance companies over longer periods can also reinforce systemic stress.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"857-908"},"PeriodicalIF":1.7,"publicationDate":"2025-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70028","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Virtuous innovation or obfuscation? Product innovation in the variable annuities market 良性创新还是混乱？可变年金市场的产品创新
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-11-03 DOI: 10.1111/jori.70027
Xiaochen Jing, Daniel Bauer, J. Tyler Leverty
{"title":"Virtuous innovation or obfuscation? Product innovation in the variable annuities market","authors":"Xiaochen Jing,&nbsp;Daniel Bauer,&nbsp;J. Tyler Leverty","doi":"10.1111/jori.70027","DOIUrl":"https://doi.org/10.1111/jori.70027","url":null,"abstract":"<p>Variable Annuities, which comprise a substantial proportion of the retirement products sold by insurance companies, have become increasingly complex over the past decades. We investigate the drivers of the product trends. We distinguish “virtuous” innovations that expand upon the existing set of consumption paths in retirement from “obfuscating” innovations that increase complexity without clear benefits to consumers. We document a recurring pattern where, in each benefit category, obfuscating products follow the introduction of virtuous innovations. This pattern generates the overall increase in product complexity. Our results challenge prevailing perspectives on Variable Annuities in the popular press and the literature.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"978-1012"},"PeriodicalIF":1.7,"publicationDate":"2025-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70027","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533483","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements 论保险会计的市场估值：对历史成本和公允价值计量的评估
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-24 DOI: 10.1111/jori.70025
Stefan Veith, Christian Fieberg
{"title":"On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements","authors":"Stefan Veith,&nbsp;Christian Fieberg","doi":"10.1111/jori.70025","DOIUrl":"https://doi.org/10.1111/jori.70025","url":null,"abstract":"<p>We analyze the relationship between stock prices and insurance accounting and compare a historical cost with a full fair value measurement approach. During our sample period, European insurers had to determine the fair value of all assets and liabilities according to the Solvency II (SII) regulation, in addition to the historical-cost-based setup of the International Financial Reporting Standards (IFRS). This alternative source of information allowed investors to update their expectations about future dividends, risks, and firm values. Comparing both frameworks, we report three findings. First, we show that the association between stock prices and SII full fair value accounting items is greater than that of IFRS historical cost measurements. Second, we find that this effect stems from unexpected news disclosed by regulatory reporting. Third, our results suggest that insurance accounting is relevant for firms exposed to lower insolvency risk and offers no additional information when the risk level is high.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"1059-1095"},"PeriodicalIF":1.7,"publicationDate":"2025-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70025","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Extreme-weather risk and the cross-section of stock returns 极端天气风险与股票收益的横截面
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-16 DOI: 10.1111/jori.70022
Alexander Braun, Julia Braun, Florian Weigert
{"title":"Extreme-weather risk and the cross-section of stock returns","authors":"Alexander Braun,&nbsp;Julia Braun,&nbsp;Florian Weigert","doi":"10.1111/jori.70022","DOIUrl":"https://doi.org/10.1111/jori.70022","url":null,"abstract":"<p>We document an extreme-weather risk premium in the cross-section of stock returns. Between 1995 and 2019, stocks of domestic U.S. firms with the most negative sensitivity to aggregate storm losses earned an annual excess-return spread of more than 6 percentage points relative to those with the most positive sensitivity, a difference not explained by standard factors. Fama-MacBeth regressions confirm that more negative storm-risk betas predict higher subsequent returns. The premium concentrates in geographically exposed and historically affected firms and in institutionally held stocks, consistent with fundamental-risk and salience channels. Our results establish a link between physical climate risk, the cost of equity, and ultimately firm value.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"93 1","pages":"163-198"},"PeriodicalIF":1.7,"publicationDate":"2025-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70022","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146176263","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences 健康保险选择的异质性：消费者选择与特征偏好的实验研究
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-16 DOI: 10.1111/jori.70026
Benedicta Hermanns, Nadja Kairies-Schwarz, Johanna Kokot, Markus Vomhof
{"title":"Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences","authors":"Benedicta Hermanns,&nbsp;Nadja Kairies-Schwarz,&nbsp;Johanna Kokot,&nbsp;Markus Vomhof","doi":"10.1111/jori.70026","DOIUrl":"https://doi.org/10.1111/jori.70026","url":null,"abstract":"<p>We investigate heterogeneity in health insurance choice using data from a controlled laboratory experiment. Participants make consecutive choices from sets of insurance plans that vary in premium, deductible, and complementary coverage of illnesses. We find that there is considerable heterogeneity in how much individuals are willing to pay for certain plan attributes. To better understand these differences, we account for individual risk preferences using a rank-dependent expected utility (RDEU) model and assess the welfare effects of plan choices. At the aggregate level, we find welfare losses under both the normative RDEU model and the descriptive EV model. At the individual level, however, the results are more differentiated: for some individuals, choices are consistent with their RDEU preferences, whereas for others, choices do not fit either model, suggesting either decision errors or reliance on heuristics.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"1096-1121"},"PeriodicalIF":1.7,"publicationDate":"2025-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70026","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533739","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Firm learning in a selection market 选择市场中的企业学习
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-14 DOI: 10.1111/jori.70020
Claudio Lucarelli, Evan Saltzman
{"title":"Firm learning in a selection market","authors":"Claudio Lucarelli,&nbsp;Evan Saltzman","doi":"10.1111/jori.70020","DOIUrl":"https://doi.org/10.1111/jori.70020","url":null,"abstract":"<p>Creating new markets is a prevalent approach for implementing large social programs. Assuming firms have full information about the relevant parameters upon market inception is commonplace in the literature. In contrast, we develop an adaptive learning model with selection to study how firms' knowledge of demand and cost affects the market equilibrium. We estimate alternative learning models with data from the California ACA exchange and assess their external validity using novel data on firms' predicted costs from insurer rate filings. The learning models provide statistically significant improvements in fit relative to the standard model that assumes firms have full information. Most of the improvement results from allowing firms to learn about the relationship between demand and cost. Firms with full information can increase profit, but at taxpayers' expense. Regulation that prohibits firms from using certain consumer information to set premiums makes them react more to the information they can use.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"93 1","pages":"41-91"},"PeriodicalIF":1.7,"publicationDate":"2025-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146176404","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wildfire risk and municipal bond yields 野火风险和市政债券收益率
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-13 DOI: 10.1111/jori.70021
Thomas R. Berry-Stölzle, Yi Hao
{"title":"Wildfire risk and municipal bond yields","authors":"Thomas R. Berry-Stölzle,&nbsp;Yi Hao","doi":"10.1111/jori.70021","DOIUrl":"https://doi.org/10.1111/jori.70021","url":null,"abstract":"<p>Wildfires increased in frequency and severity over the past 30 years, raising the exposure of municipalities. We study whether municipal bond yields reflect wildfire risk and find that the municipal bond market begins pricing wildfire risk around 2000. A one-standard-deviation rise in wildfire risk leads to a 3.646 basis points increase in a bond's yield spread, increasing financing cost for affected communities. The effect on yield spreads disappears for maturities of less than 1 year or more than 15 years, supporting the view that wildfire risk is a medium-term risk. When including measures of investor attention into our analysis, we find that investor attention is associated with an additional increase in yield spreads. Fire mitigation measures, on the other hand, are associated with a reduction in yield spreads, highlighting the benefits of wildfire risk management for municipal financing.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"93 1","pages":"118-162"},"PeriodicalIF":1.7,"publicationDate":"2025-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146176399","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal hedging of longevity risks for group self-annuity portfolios 团体自我年金组合长寿风险的最优对冲
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-03 DOI: 10.1111/jori.70024
Yang Shen, Michael Sherris, Yawei Wang, Jonathan Ziveyi
{"title":"Optimal hedging of longevity risks for group self-annuity portfolios","authors":"Yang Shen,&nbsp;Michael Sherris,&nbsp;Yawei Wang,&nbsp;Jonathan Ziveyi","doi":"10.1111/jori.70024","DOIUrl":"https://doi.org/10.1111/jori.70024","url":null,"abstract":"<p>This paper proposes a dynamic longevity risk hedging strategy for smooth survival benefit profiles of group self-annuity (GSA) schemes in the presence of population basis risk. The fund manager of GSA acts on behalf of fund participants in selecting the optimal hedge. The hedging framework is formulated as a mean-variance optimization problem, which serves as a theoretical framework for selecting the optimal hedging strategy. The hedging mechanism involves trading standardized longevity-linked securities dynamically. A semi-analytic solution to the optimal hedge ratio is derived, which enhances the numerical implementation of the strategy. Furthermore, a risk decomposition method is developed, enabling hedging of various sources of risks, such as longevity and investment risks. Numerical illustrations highlight that the hedging strategy effectively mitigates variability in survival benefits. Meanwhile, a holistic risk management framework utilizing the longevity risk hedging strategy and a target volatility investment strategy increases the fund's return per unit of risk.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"1013-1058"},"PeriodicalIF":1.7,"publicationDate":"2025-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70024","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis 2008年后全球金融危机时代系统重要性金融机构的系统性风险：尾部风险网络分析
IF 1.7 3区 经济学
Journal of Risk and Insurance Pub Date : 2025-10-01 DOI: 10.1111/jori.70023
Tao Sun
{"title":"Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis","authors":"Tao Sun","doi":"10.1111/jori.70023","DOIUrl":"https://doi.org/10.1111/jori.70023","url":null,"abstract":"<p>We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G-SIBs) and 12 global systemically important insurers (G-SIIs) between 2010 and 2023. We use tail risk network-based systemic risk measures for SIFIs. We find that G-SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G-SIIs' systemic risk is largely driven by the 2020 COVID-19 pandemic. Moreover, the distribution and correlation of systemic risk for G-SIBs and G-SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G-SIBs' and G-SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"92 4","pages":"950-977"},"PeriodicalIF":1.7,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.70023","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145533572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书