Artikel
Interest rate risk of life insurers: Evidence from accounting data
Life insurers are exposed to interest rate risk as their liability side is typically more sensitive to interest rate changes than their asset side. This paper explores why insurers assume this risk using a new accounting-based method to measure the interest rate sensitivity of assets and liabilities. Calculation at the insurer level yields a wide duration gap with pronounced heterogeneity in the cross-section. This could be explained by alternative investment strategies, such as asset insulation, which are at odds with interest rate risk management. Using a 2014–2018 panel, factors associated with interest rate risk support this view.
- Sprache
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Englisch
- Erschienen in
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Journal: Financial Management ; ISSN: 1755-053X ; Volume: 50 ; Year: 2021 ; Issue: 2 ; Pages: 587-612 ; Hoboken, NJ: Wiley
- Klassifikation
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Management
Interest Rates: Determination, Term Structure, and Effects
Portfolio Choice; Investment Decisions
Insurance; Insurance Companies; Actuarial Studies
- Thema
-
asset liability management
duration gap
insurance investment management
interest rate risk
life insurers
- Ereignis
-
Geistige Schöpfung
- (wer)
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Möhlmann, Axel
- Ereignis
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Veröffentlichung
- (wer)
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Wiley
- (wo)
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Hoboken, NJ
- (wann)
-
2021
- DOI
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doi:10.1111/fima.12305
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Möhlmann, Axel
- Wiley
Entstanden
- 2021
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