Interest rate exposure of European insurers

Abstract

This paper focuses on analysing the sensitivity and behaviour of some of the leading insurers currently operating in the Euro area to changes in benchmark interest rates. The methodology used is the Quantile Regression (QR) approach and the period analysed covers from 2003 to 2015 around the recent global financial crisis. The empirical results show that European insurance market returns have a statistically significant sensitivity to interest rate variations and that there are important differences according to the period analysed, being the sensitivity most pronounced in extreme market conditions.