Grochola, Nicolaus; Browne, Mark J.; Gründl, Helmut; … - In: Risk Management and Insurance Review 26 (2023) 3, pp. 287-341
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'...
