Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230147 
Autor:innen: 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Financial Management [ISSN:] 1755-053X [Volume:] 50 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 587-612
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
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.
Schlagwörter: 
asset liability management
duration gap
insurance investment management
interest rate risk
life insurers
E43
G11
G22
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