Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/158017 
Autor:innen: 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 10/2017
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Life insurers are exposed to interest rate risk, and their liability side is typically more sensitive to interest rate changes than their asset side. This paper develops an accounting-based measure of interest rate sensitivity. My approach uses the coexistence of historical cost and market value accounting, which permits the observation of valuations for different discount rates. Using microdata, I show that German life insurers have a significant exposure to interest rate risk. However, there is a wide dispersion across the sector. I find that insurers' size, growth and solvency are negatively correlated with interest rate risk. The heterogeneity suggests that insurers would behave differently during times of stress, which has important implications for understanding the macroprudential risks to which the sector is exposed.
Schlagwörter: 
life insurance
interest rate risk
asset liability management
duration gap
JEL: 
E43
G11
G22
ISBN: 
978-3-95729-357-2
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
298.09 kB





Publikationen in EconStor sind urheberrechtlich geschützt.