Risk management is now present in many economic sectors. This paper investigates the role of risk management in creating value for financial institutions by analyzing U.S. property-liability insurers. Property-liability insurers are financial intermediaries whose primary role in the economy is...

This paper conducts an event study analysis of the impact of operational risk events on the market values of banks and insurance companies, using the OpVar database. We focus on financial institutions because of the increased market and regulatory scrutiny of operational losses in these...

Although an extensive literature has developed on modeling the loss reserve runoff triangle, the estimation of severity distributions applicable to claims settled in specific cells of the runoff triangle has received little attention in the literature. This paper proposes the use of a very...

Deregulation of the European financial services market during the 1990s led to an unprecedented wave of mergers and acquisitions (Mamp;As) in the insurance industry. From 1990-2002 there were 2,595 Mamp;As involving European insurers of which 1,669 resulted in a change in control. This paper...

This paper examines the role of the federal government in the market for terrorism reinsurance. We investigate the stock price response of affected industries to a sequence of thirteen events culminating in the enactment of the Terrorism Risk Insurance Act (TRIA) of 2002. In the industries most...

This paper presents new evidence on estimates of the cost of equity capital by line of insurance for the property-liability insurance industry. To do so we obtain firm beta estimates and then use the recently developed full-information industry beta methodology to decompose the cost of capital...

This paper provides new information on the effects of deregulation and consolidation in financial services markets by analyzing the Spanish insurance industry. The sample period 1989-1998 spans the introduction of the European Union?s Third Generation Insurance Directives, which deregulated the...

This paper presents a theoretical and empirical analysis of the effects of no fault automobile insurance on fatal accident rates. As a mechanism for compensating the victims of automobile accidents, no fault has several important advantages over the tort system. However, by restricting access to...

This paper analyzes the basis risk of catastrophic-loss (CAT) index derivatives, which securitize losses from catastrophic events such as hurricanes and earthquakes. We analyze the hedging effectiveness of these instruments for 255 insurers writing 93 percent of the insured residential property...

We provide evidence on the validity of the conglomeration hypothesis versus the strategic focus hypothesis for financial institutions using data on U.S. insurance companies. We distinguish between the hypotheses using profit scope economies, which measures the relative efficiency of joint versus...