TY  - UNPD
A1  - Kubitza, Christian
A1  - Grochola, Nicolaus
A1  - Gründl, Helmut
T1  - Life insurance convexity
N2  - Life insurers sell savings contracts with surrender options, which allow policyholders to prematurely receive guaranteed surrender values. These surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender rates, as we document empirically by exploiting plausibly exogenous variation in monetary policy. Using a calibrated model, we then estimate that surrender options would force insurers to sell up to 2% of their investments during an enduring interest rate rise of 25 bps per year. We show that these fire sales are fueled by surrender value guarantees and insurers’ long-term investments.
T3  - ICIR Working Paper Series - No. 42 [21.6.2023] 
KW  - Life Insurance
KW  - Liquidity Risk
KW  - Interest Rates
KW  - Surrender Options
KW  - Systemic Risk
KW  - Lebensversicherung
KW  - Liquiditätsrisiko
KW  - Zinssätze
KW  - Notverkäufe
KW  - systemisches Risiko
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/77262
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-772621
UR  - https://www.icir.de/fileadmin/user_upload/editors/documents/working_papers/22_kubitza_etal_life_insurance_convexity.pdf
PB  - International Center for Insurance Regulation
CY  - Frankfurt am Main
ER  -