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Lethal lapses: How a positive interest rate shock might stress German life insurers
Feodoria, Mark; Förstemann, Till - 2015
shock in the course of the financial and sovereign debt crisis from 2007 to 2011. Despite the challenges presented by the …
Persistent link: https://www.econbiz.de/10011286344
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Lethal Lapses : How a Positive Interest Rate Shock Might Stress German Life Insurers
Feodoria, Mark - 2016
shock in the course of the financial and sovereign debt crisis from 2007 to 2011. Despite the challenges presented by the …
Persistent link: https://www.econbiz.de/10012988692
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Lethal Lapses – How a Positive Interest Rate Shock Might Stress Life Insurers
Förstemann, Till - 2019
to surrender their policies in the event of a severe macroeconomic shock. Life insurers would, then, have to sell assets …, and these fire sales would amplify the original shock. Using a granular set of microdata and the German case as a … laboratory, this paper demonstrates that German life insurers in isolation could amplify an initial global interest rate shock by …
Persistent link: https://www.econbiz.de/10012903410
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The influence of negative interest rates on life insurance companies
Grochola, Nicolaus - 2023 - This version: November 2023
Between 2016 and 2022, life insurers in several European countries experienced negative longterm interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To...
Persistent link: https://www.econbiz.de/10014427308
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The effects of a low interest rate environment on life insurers
Berdin, Elia; Gründl, Helmut - 2014
as Germany, where products with relatively high guaranteed returns sold in the past still represent a prominent share of …
Persistent link: https://www.econbiz.de/10010350485
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Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk
Bernard, Carole - 2017
The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options...
Persistent link: https://www.econbiz.de/10012963609
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Measuring Interest Rate Risk in the Life Insurance Sector : The U.S. and the U.K
Hartley, Daniel A. - 2016
We use a two factor model of life insurer stock returns to measure interest rate risk at U.S. and U.K. insurers. Our estimates show that interest rate risk among U.S. life insurers increased as interest rates decreased to historically low levels in recent years. For life insurers in the U.K., in...
Persistent link: https://www.econbiz.de/10012993025
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The Sensitivity of Life Insurance Firms to Interest Rate Changes
Berends, Kyal - 2014
The authors examine the interest rate risk of life insurers by estimating the sensitivity of their stock returns to changes in the return on bonds over a time frame that includes a relatively calm period before the recent financial crisis, the financial crisis itself, and the recent period of...
Persistent link: https://www.econbiz.de/10013060015
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The effects of a low interest rate environment on life insurers
Berdin, Elia; Gründl, Helmut - 2015 - This version: January 2015
as Germany, where products with relatively high guaranteed returns sold in the past still represent a prominent share of …
Persistent link: https://www.econbiz.de/10012061579
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Asset-Liability Management of Life Insurers in the Negative Interest Rate Environment
Lin, Yijia; Liu, Sheen; Tan, Ken Seng; Zhang, Xun - 2021
This study investigates the asset-liability management (ALM) of life insurers in the markets with negative interest rates. Using a sample of Japanese life insurers between 1999 and 2018, we provide initial evidence that the negative interest rate environment produces a much more serious...
Persistent link: https://www.econbiz.de/10013229549