The impact of catastrophes on insurer stock volatility
2013 (English)In: Journal of Risk and Insurance, ISSN 0022-4367, E-ISSN 1539-6975, 65-94 p.Article in journal (Refereed) Published
This article investigates the impact of natural catastrophes and the 9-11 attacks on (1) the volatility of insurance stocks and (2) the correlation of insurance stocks with the market. We find that natural catastrophes increase the volatility of insurance stocks. They also have a tendency to reduce the correlation of insurance stocks and the market. Investors can, consequently, diversify natural catastrophe risk by additionally holdings of a market portfolio. However, this does not hold for 9-11. The events of 9-11 led to increases in volatility and, simultaneously, to an increase in correlation. We also find evidence that 9-11 increased the beta of insurance stocks.
Place, publisher, year, edition, pages
Wiley-Blackwell, 2013. 65-94 p.
Research subject Economics
IdentifiersURN: urn:nbn:se:kth:diva-183165DOI: 10.1111/j.1539-6975.2012.01478.xISI: 000315439800003ScopusID: 2-s2.0-84874240314OAI: oai:DiVA.org:kth-183165DiVA: diva2:908598
QC 201603162016-03-022016-03-022016-03-16Bibliographically approved