Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230147
Authors: 
Möhlmann, Axel
Year of Publication: 
2020
Citation: 
[Journal:] Financial Management [ISSN:] 1755-053X [Volume:] [Issue:] [Pages:] n/a-n/a
Abstract: 
Life insurers are exposed to interest rate risk as their liability side is typically more sensitive to interest rate changes than their asset side. This paper explores why insurers assume this risk using a new accounting‐based method to measure the interest rate sensitivity of assets and liabilities. Calculation at the insurer level yields a wide duration gap with pronounced heterogeneity in the cross‐section. This could be explained by alternative investment strategies, such as asset insulation, which are at odds with interest rate risk management. Using a 2014–2018 panel, factors associated with interest rate risk support this view.
Subjects: 
asset liability management
duration gap
insurance investment management
interest rate risk
life insurers
E43
G11
G22
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version

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