Measuring insurers’ investment risk taking with asymmetric tail dependencies

Gene C. Lai, Erin P. Lu (), Haijun Li and Dennis C. Chen
Additional contact information
Gene C. Lai: Washington State University
Erin P. Lu: Shenzhen University
Haijun Li: Washington State University
Dennis C. Chen: Optimus Capital

Risk Management, 2017, vol. 19, issue 1, No 1, 31 pages

Abstract: Abstract This paper provides a new measurement of investment risk taking for the U.S. life insurers and illustrates the computational results. We use a modified portfolio value-at-risk approach, which is based on disaggregated market values of twenty-one types of assets and accounted for dependencies among downside risks of assets, to calculate the respective portfolio risk for 28 mutual insurers and 135 stock insurers over the period from 2007 to 2009. We find more than half of the life insurers in our sample reduced their portfolio risk during the 2008–2009 financial crisis.

Keywords: Investment risk taking; Life insurance industry; Skewed-t copula; Value-at-risk (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/s41283-016-0010-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:risman:v:19:y:2017:i:1:d:10.1057_s41283-016-0010-8

Ordering information: This journal article can be ordered from
https://www.palgrave.com/gp/journal/41283

DOI: 10.1057/s41283-016-0010-8

Access Statistics for this article

Risk Management is currently edited by Igor Loncarski

More articles in Risk Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().