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- W2564884265 abstract "Abstract 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 contrast, interest rate risk remained low during this time, roughly unchanged from what it was in the period prior to the financial crisis when long-term interest rates were in their usual historical ranges. We attribute these differences to the heavier use of products that combine guarantees with options for policyholders to adjust their behaviour by U.S. life insurers relative to their U.K. counterparts." @default.
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- W2564884265 date "2016-11-10" @default.
- W2564884265 modified "2023-10-17" @default.
- W2564884265 title "Measuring Interest Rate Risk in the Life Insurance Sector" @default.
- W2564884265 doi "https://doi.org/10.1093/acprof:oso/9780198788812.003.0007" @default.
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