Insurance profits exhibit cyclical behavior that has been attributed to capital market constraints. We show that changes in interest rates simultaneously affect the insurer's capital structure and the equilibrium underwriting profit. Depending upon asset and liability maturity structure, capital...

A number of articles have documented that the classical event study methodology exhibits a bias toward detecting quot;effects,quot; irrespective of whether such effects actually exist. This paper addresses this bias by presenting a new methodology that explicitly incorporates stochastic...