Interest rate risk of life insurers: Evidence from accounting data

Research English OPEN
Möhlmann, Axel;
(2017)
  • Publisher: Frankfurt a. M.: Deutsche Bundesbank
  • Subject: duration gap | E43 | G11 | G22 | interest rate risk | asset liability management | life insurance
    • ddc: ddc:330
    mesheuropmc: health care economics and organizations

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 histor... View more
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