We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...

Long-term interest rates in Europe fell sharply in 2014 to historically low levels. This development is often attributed to yield-chasing in anticipation of quantitative easing by the European Central Bank. We examine how portfolio adjustments by long-term investors aimed at containing duration...

Long-term interest rates in Europe fell sharply in 2014 to historically low levels. This development is often attributed to yield-chasing in anticipation of quantitative easing (QE) by the European Central Bank (ECB). We examine how portfolio adjustments by long-term investors aimed at...

Two Fong-Vasicek immunization results are discussed and applied in relation to asset portfolios of a sample of Italian insurance companies managing life insurance with-profit savings. Firstly, we analyzed the contribution of Fong and Vasicek (1984) providing a lower bound on the “shortfall”...

In this paper, we study the sensitivity of insurance companies' stock returns with respect to expected and unexpected changes in the Federal funds target rate over the period 1988-2007. We confirm Bernanke and Kuttner (2005) that, as stocks in general, insurance stock returns are only sensitive...

The aim of the article is to identify the risk factors affecting bancassurance development in Poland. The development is understood here as a change of gross written premiums obtained through banks in Poland. The group of risk factors selected in a survey conducted among financial sector...