Measuring interest rate risk in the life insurance sector: The U.S. and the U.K.

Arbeitspapier

We use a two factor model of life insurer stock returns to measure interest rate risk at U.S. and U.K. insurers. Our estimates show that interest rate risk among U.S. life insurers increased as interest rates decreased to historically low levels in recent years. For life insurers in the U.K., in contrast, interest rate risk remained low during this time, roughly unchanged from what it was in the period prior to the financial crisis when long-term interest rates were in their usual historical ranges. We attribute these differences to the heavier use of products that combine guarantees with options for policyholders to adjust their behavior by U.S. life insurers relative to their U.K. counterparts.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2016-02

Classification and Topics

• Classification: Wirtschaft
• Subject: Insurance companies ; interest rate risk ; life insurance ; low interest rates

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hartley, Daniel ; Paulson, Anna Louise ; Rosen, Richard Joseph
• Event: Veröffentlichung
• (who): Federal Reserve Bank of Chicago
• (where): Chicago, IL
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/172918
• Last update: 10.03.2025, 11:45 AM CET