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 Iqbal Mansur},
  journal={Monetary Economics eJournal},
  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… 

Cross‐Industry Product Diversification and Contagion in Risk and Return: The Case of Bank‐Insurance and Insurance‐Bank Takeovers

We investigate the impact of domestic/international bancassurance deals on the risk-return profiles of announcing and nonannouncing banks and insurers within a GARCH model. Bank-insurance deals

The Sensitivity of Life Insurance Firms to Interest Rate Changes

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

The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and

Measuring Interest Rate Risk in the Life Insurance Sector: The U.S. and the U.K.

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 rate sensitivity of US property/liability insurer stock returns

Purpose – The purpose of this study is to investigate interest rate sensitivity of the US property/liability (P/L) insurers stock returns using various return generating process models incorporating

Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods

We investigate the return and volatility interdependencies among the US, the UK, the EU, and Japanese banks and insurers during the period of 2003 to 2009. We find strong return and volatility

Financial intermediation and interest rate risk

This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory

Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk-Transfer Solutions

One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors.

The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies

This study examines the impact of exchange rate and interest changes on stock returns and volatility of Turkish insurance companies using the EGARCH model for the period of 01/01/2009 to 15/04/2020.

Convergence of Insurance and Financial Markets: Hybrid and Securitized Risk Transfer Solutions

One of the most significant economic developments of the past decade has been the convergence of the financial services industry, particularly the capital markets and (re)insurance sectors.

References

SHOWING 1-10 OF 42 REFERENCES

Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH-M Model

The importance of managerial decisions related to interest-sensitive cash flows has received considerable attention in the insurance literature. Consistent with the interest-sensitive nature of

The Relation Between Capital Structure, Interest Rate Sensitivity, and Market Value in the Property-Liability Insurance Industry

The choice of financial structure is appropriately viewed as a complex, multidimensional decision by insurer management. Specific attention is given to traditional theories regarding capital

Risk and Market Segmentation in Financial Intermediaries' Returns

This study examines both the quantity and price of risk exposure for different segments of financial intermediaries. Overall, we find evidence of market segmentation in the U.S. financial services

The Relationship Between Risk and Return: Evidence for Life Insurance Stocks

This paper examines the relationship between realized mean returns and alternative measures of risk for samples of life insurance stocks during the 1961-76 period within the framework of the Capital

Convergence and Risk-Return Linkages Across Financial Service Firms

INTEREST RATE RISK AND EQUITY VALUES OF HEDGED AND UNHEDGED FINANCIAL INTERMEDIARIES

This paper uses an approach developed by Flannery and James to show that interest rate changes have different effects on equity values of hedged and unhedged financial institutions. Equity values of

ECONOMIC AND MARKET PREDICTORS OF INSOLVENCIES IN THE LIFE-HEALTH INSURANCE INDUSTRY

This study identifies factors exogenous to individual insurers that are statistically related to the overall rate of life-health insurer insolvencies. This is a departure from the methodologies of

Risk/return Relationships for Life-Health, Property-Liability, and Diversified Insurers: Reply

Risk/Return Relationships for Life-Health, Property-Liability, and Diversified Insurers Abstract This study focuses on a risk-return comparisson for life-health, property-liability, and diversified