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The impact of catastrophes on insurer stock volatility
Minsitry of Finance, S-10333 Stockholm, Sweden.ORCID iD: 0000-0002-4381-5280
2013 (English)In: Journal of Risk and Insurance, ISSN 0022-4367, E-ISSN 1539-6975, p. 65-94Article in journal (Refereed) Published
Abstract [en]

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. p. 65-94
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:kth:diva-183165DOI: 10.1111/j.1539-6975.2012.01478.xISI: 000315439800003Scopus ID: 2-s2.0-84874240314OAI: oai:DiVA.org:kth-183165DiVA, id: diva2:908598
Note

QC 20160316

Available from: 2016-03-02 Created: 2016-03-02 Last updated: 2018-11-13Bibliographically approved

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Thomann, Christian

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