Arbeitspapier

Interest rate risk of life insurers: Evidence from accounting data

Life insurers are exposed to interest rate risk, and their liability side is typically more sensitive to interest rate changes than their asset side. This paper develops an accounting-based measure of interest rate sensitivity. My approach uses the coexistence of historical cost and market value accounting, which permits the observation of valuations for different discount rates. Using microdata, I show that German life insurers have a significant exposure to interest rate risk. However, there is a wide dispersion across the sector. I find that insurers' size, growth and solvency are negatively correlated with interest rate risk. The heterogeneity suggests that insurers would behave differently during times of stress, which has important implications for understanding the macroprudential risks to which the sector is exposed.

Sprache
Englisch
ISBN
978-3-95729-357-2

Erschienen in
Series: Bundesbank Discussion Paper ; No. 10/2017

Klassifikation
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Portfolio Choice; Investment Decisions
Insurance; Insurance Companies; Actuarial Studies
Thema
life insurance
interest rate risk
asset liability management
duration gap

Ereignis
Geistige Schöpfung
(wer)
Möhlmann, Axel
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2017

Handle
Letzte Aktualisierung
10.03.2025, 11:43 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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Möhlmann, Axel
  • Deutsche Bundesbank

Entstanden

  • 2017

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