Life Insurers’ Asset-Liability Dependency and Low-Interest Rate Environment

Nicola Borri, Rosaria Cerrone (), Rosa Cocozza () and Domenico Curcio ()
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Rosaria Cerrone: University of Salerno, Department of Business Science–Management & Innovation Systems
Rosa Cocozza: University of Naples “Federico II”, Department of Economics, Management, Institutions
Domenico Curcio: University of Naples “Federico II” & CASMEF, Department of Economics, Management, Institutions

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 185-189 from Springer

Abstract: Abstract In this paper we study the relationships between life insurers’ assets and liabilities and investigate how it evolved during the most recent years of unprecedented low interest rates. We use a canonical correlation analysis to measure the relationships among, and between, asset and liability accounts for the main EU life insurers in the years 2007, 2011 and 2015. We find strong and substantial evidence that assets and liabilities have become more independent over time. We argue that the declining trend of market interest rates has contributed to the generalized reduction in the linkage between the asset side and the liability side of EU life insurers, leaving them more exposed to ALM-related risks relative to the period before the financial crisis.

Keywords: Insurance companies; Interest rates; Asset-liability management; Canonical correlation analysis (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_34

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DOI: 10.1007/978-3-319-89824-7_34

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