Replication data for: The Cost of Financial Frictions for Life Insurers
Principal Investigator(s): View help for Principal Investigator(s) Ralph S. J. Koijen; Motohiro Yogo
Version: View help for Version V1
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text/plain | 14.6 KB | 10/11/2019 07:54:PM |
Project Citation:
Koijen, Ralph S. J., and Yogo, Motohiro. Replication data for: The Cost of Financial Frictions for Life Insurers. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112888V1
Project Description
Summary:
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During the financial crisis, life insurers sold long-term policies at deep discounts relative to actuarial value. The average markup was as low as -19 percent for annuities and -57 percent for life insurance. This extraordinary pricing behavior was due to financial and product market frictions, interacting with statutory reserve regulation that allowed life insurers to record far less than a dollar of reserve per dollar of future insurance liability. We identify the shadow cost of capital through exogenous variation in required reserves across different types of policies. The shadow cost was $0.96 per dollar of statutory capital for the average company in November 2008. (JEL G01, G22, G28, G32)
Scope of Project
JEL Classification:
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G01 Financial Crises
G22 Insurance; Insurance Companies; Actuarial Studies
G28 Financial Institutions and Services: Government Policy and Regulation
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
G01 Financial Crises
G22 Insurance; Insurance Companies; Actuarial Studies
G28 Financial Institutions and Services: Government Policy and Regulation
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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