Abstract
This paper studies the interest rate risk of some relevant European insurers during the period 2003–2015, using the Quantile Regression (QR) methodology and including the state of the economy. The results show that, in general, the European insurers’ returns have a statistically significant sensitivity to interest rates, although there are relevant differences between the different companies analyzed, the different subperiods and between quantiles. Thus, the sensitivity of the European insurers to movements in the European interest rates tends to be more pronounced in extreme market conditions (with upward or downward fluctuations).
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