Insurance company risk is assessed after their acquisitions. An acquisition may increase risk if it is a strategic mismatch, or an acquisition may reduce risk through cash flow diversification. Over thirty-six month periods surrounding insurance company acquisitions, systematic risk changes are...

This paper shows that the notion of rate of return is best understood through the lens of the average-internal-rate-of-return (AIRR) model, first introduced in Magni (2010a). It is an NPV-consistent approach based on a coherent definition of rate of return and on the notion of Chisini mean, it...

Analyzing the top 100 U.S. property-liability insurers, we find that the cost of equity capital is negatively related to insurers' underwriting performance, but not their investment performance. The difference is attributable to opaque insurer liabilities and investor learning. We also find that...

German Abstract: Der Beitrag zeigt die Anlageergebnisse dreier quantitativer Strategien im Vergleich zu Anlageergebnissen in einen Index. Verglichen werden die Anlage-Ergebnisse bei Nutzung einer Diskriminanzanalyse, Elemination des Systematischen Risikos nach Scholtz und einer schrittweisen...

Commercial real estate makes up a relatively small percentage of most institutional portfolios, even though the existing literature has consistently reported attractive risk-return characteristics that would suggest much larger allocations. The discrepancy has been explained by a perceived lack...

We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents...

The aim of this paper is to study optimal risk- and value-based management decisions regarding a non-life insurer's investment strategy by maximizing shareholder value based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by...

This paper presents a model that measures the impact of political risk on portfolio investment when the political risks are multivariate and correlated across countries. The multivariate approach generalizes the single country model but retains most of its characteristics in terms of its ability...