Abstract
This paper studies the interest rate risk of some relevant European insurers during the period 2003–2015, using the Quantile Regression (QR) methodology and including the state of the economy. The results show that, in general, the European insurers’ returns have a statistically significant sensitivity to interest rates, although there are relevant differences between the different companies analyzed, the different subperiods and between quantiles. Thus, the sensitivity of the European insurers to movements in the European interest rates tends to be more pronounced in extreme market conditions (with upward or downward fluctuations).
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Notes
- 1.
Munich Re, Axa and Allianz are included in the EuroStoxx 50 index, but they represent a low percentage of the index.
- 2.
According to Sevillano and Jareño [1], this paper tries to study the impact of this international factor. Another option would be to include the risk premium for non-German companies.
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Jareño, F., Tolentino, M., de la O González, M., Medina, M.Á. (2018). European Insurers: Interest Rate Risk Management. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_78
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DOI: https://doi.org/10.1007/978-3-319-89824-7_78
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