000			02384cam a22003377 4500
001			w24182
003			NBER
005			20211020104658.0
006			m o d
007			cr cnu||||||||
008			210910s2018 mau fo 000 0 eng d
100	1		_aKoijen, Ralph.
245	1	4	_aThe Fragility of Market Risk Insurance / _cRalph Koijen, Motohiro Yogo.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2018.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w24182
500			_aJanuary 2018.
520	3		_aInsurers sell retail financial products called variable annuities that package mutual funds with minimum return guarantees over long horizons. Variable annuities accounted for $1.5 trillion or 35% of U.S. life insurer liabilities in 2015. Sales decreased and fees increased during the 2008 financial crisis as the higher valuation of existing liabilities stressed risk-based capital. Insurers also made guarantees less generous or stopped offering guarantees to reduce risk exposure. These supply-side effects persist long after the financial crisis in the low interest rate environment, and variable annuity insurers suffered especially low stock returns during the COVID-19 crisis. We develop an equilibrium model of insurance markets in which financial frictions and market power are important determinants of pricing, contract characteristics, and the degree of market incompleteness.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG22 - Insurance • Insurance Companies • Actuarial Studies _2Journal of Economic Literature class.
690		7	_aG32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill _2Journal of Economic Literature class.
700	1		_aYogo, Motohiro. _923135
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w24182.
856	4	0	_uhttps://www.nber.org/papers/w24182
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w24182
942			_2ddc _cW-PAPER
999			_c323940 _d282502