Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System-GARCH Model

@article{Carson2008MarketRI,
  title={Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System-GARCH Model},
  author={James M. Carson and Elyas Elyasiani and I. Mansur},
  journal={Risk Management},
  year={2008}
}
We examine market risk, interest rate risk, and interdependencies in returns and return volatilities across three insurer segments within a System-GARCH framework. Three main results are obtained: market risk is greatest for accident and health (AH interest rate sensitivity is negative and greatest for Life insurers; and interdependencies in returns are significant with the magnitude being strongest between P&C and A&H insurers. The implication is that greatest diversification benefits arise… Expand
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