Does WTC Matter for the Investment Policy of P/C Insurance Companies?

Paul M Achleitner, Jorg H Biebel and Daniel Wichels
Additional contact information
Paul M Achleitner: Allianz, AG
Jorg H Biebel: Allianz, AG
Daniel Wichels: Allianz, AG

The Geneva Papers on Risk and Insurance - Issues and Practice, 2002, vol. 27, issue 2, No 9, 275-282

Abstract: Abstract The attack on the World Trade Center (WTC) had a serious double impact on insurance companies, revealing a significant correlation between the asset and liability sides of their balance sheets. Insurance companies that previously considered themselves well capitalized, suddenly felt vulnerable to simultaneous shocks to their risk-absorbing capital. The unprecedented simultaneous shock challenges the previous investment assumption of P/C insurers that there is no major relation between underwriting and investment risks. The direct and indirect impact of WTC on the investment policy is threefold. First, the stronger correlation between underwriting and investment risks implies a lower overall investment risk absorption capacity. Second, an active or index-based investment attitude should be augmented by a more elaborated ALM-based counterparty risk controlling. Third, the general “risk appetite” of P/C insurers must be reviewed. All in all, a deeper knowledge and better understanding of the underwritten risk structure is necessary to derive an optimal investment policy.

Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1111/1468-0440.00169 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:gpprii:v:27:y:2002:i:2:d:10.1111_1468-0440.00169

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41288/PS2

DOI: 10.1111/1468-0440.00169

Access Statistics for this article

The Geneva Papers on Risk and Insurance - Issues and Practice is currently edited by Christophe Courbage

More articles in The Geneva Papers on Risk and Insurance - Issues and Practice from Palgrave Macmillan, The Geneva Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().