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Exploring the market risk profiles of US and European stock insurers

Author

Listed:
  • Nicolaus Grochola
  • Mark J. Browne
  • Helmut Gründl
  • Sebastian Schlütter

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.

Suggested Citation

  • Nicolaus Grochola & Mark J. Browne & Helmut Gründl & Sebastian Schlütter, 2023. "Exploring the market risk profiles of US and European stock insurers," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 26(3), pages 287-341, October.
    • Handle: RePEc:bla:rmgtin:v:26:y:2023:i:3:p:287-341
    DOI: 10.1111/rmir.12248
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    References listed on IDEAS

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