This paper investigates the impact of natural catastrophes and the 9-11 attacks on (1) the volatility of insurance stocks and (2) the correlation of insurance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to...

In our article we consider insurance as a means of allocating terrorism risk. Terrorism poses a significant challenge for insurers worldwide. In terms of possible losses it fits into the same category as earthquakes and hurricanes. Yet as a result of the uncertainty surrounding these risks...

In our article we consider insurance as a means of allocating terrorism risk. Terrorism poses a significant challenge for insurers worldwide. In terms of possible losses it fits into the same category as earthquakes and hurricanes. Yet as a result of the uncertainty surrounding these risks...

Mutual insurance companies and stock insurance companies are different forms of organized risk sharing: policyholders and owners are two distinct groups in a stock insurer, while they are one and the same in a mutual. This distinction is relevant to raising capital, selling policies, and sharing...

Risk transfer between primary insurance and reinsurance companies today takes place against a backdrop of major changes in international insurance and financial markets. One of these changes is the trend for the two markets to converge. This trend manifests itself in a growing number of product...

The current EU rules governing the solvency of insurance companies essentially base the required minimum equity capital on the volume of insurance business the companies write. Thus, no attempt is made to identify or quantify the central risks borne by insurance companies. In response to...

Cummins et al. (1994) provide a conceptual framework for policymakers to use in analyzing risk-based capital systems. Based on their framework, this article provides an overview and critical analysis of risk-based capital requirements, with a focus on property/casualty insurance, as implemented...

In this paper, we first discuss the characteristics and major benefits of the Swissrisk-based capital standards for insurance companies (Swiss Solvency Test), introduced in 2006. As the insurance industry is one of the largest institutional investors in Switzerland, changes to its asset and...

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...