Carson, James M.; Elyasiani, Elyas; Mansur, Iqbal - In: Journal of Risk & Insurance 75 (2008) 4, pp. 873-891
We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident and health (A&H) insurers, followed by life (Life) and...