The Time-variation of Risk for Life Insurance Companies

Jianping (J.P.) Mei and Anthony Saunders
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Jianping (J.P.) Mei: Leonard N. Stern School of Business, New York University, USA
Anthony Saunders: Leonard N. Stern School of Business, New York University, USA

Chapter 8 in Asset Pricing, 2003, pp 171-193 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this chapter we study the ex ante risk premiums on life insurance stocks and the time-varying nature of such premiums in relation to changes in economic environment, especially in the real estate market. We find that a premium for real estate risk is increasingly apparent in the market for life insurance stocks, presumably reflecting their growing exposures in this area. We also find some preliminary evidence that factor risks are underpriced for life insurance stocks. This underpricing is consistent with the presence of government safety net subsidies for the nation's public life insurance companies.

Date: 2003
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