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@article{8539, author = {Šindelář, Jiří and Erben, Michal}, article_location = {Prague}, article_number = {1}, doi = {http://dx.doi.org/10.18267/j.pep.752}, keywords = {life insurance; life investments; distribution growth; insurance reselling; macroeconomic factors}, language = {eng}, issn = {1210-0455}, journal = {Prague Economic Papers}, title = {DOES DISTRIBUTION GROWTH AFFECT THE INSURERS’ ASSET ALLOCATION IN LIFE INSURANCE? THE CASE OF CENTRAL EUROPE}, url = {https://pep.vse.cz/artkey/pep-202101-0002_does-distribution-growth-affect-the-insurers-asset-allocation-in-life-insurance-the-case-of-central-europe.php}, volume = {30}, year = {2021} }
TY - JOUR ID - 8539 AU - Šindelář, Jiří - Erben, Michal PY - 2021 TI - DOES DISTRIBUTION GROWTH AFFECT THE INSURERS’ ASSET ALLOCATION IN LIFE INSURANCE? THE CASE OF CENTRAL EUROPE JF - Prague Economic Papers VL - 30 IS - 1 SP - 20-36 EP - 20-36 PB - University of Economics SN - 12100455 KW - life insurance KW - life investments KW - distribution growth KW - insurance reselling KW - macroeconomic factors UR - https://pep.vse.cz/artkey/pep-202101-0002_does-distribution-growth-affect-the-insurers-asset-allocation-in-life-insurance-the-case-of-central-europe.php N2 - This paper deals with the effects of distribution stress and macroeconomic factors on the composition of life insurance investment portfolios on the Central European market. Using a wide array of variables and the VAR model as our main method, we have found that a strong majority of insurers react to external shocks, induced by high levels of contract turnover or positive changes in macro-variables such as GDP and inflation, by strengthening bond components of their portfolio. The exception is connected to interest rates (two-week repo), which presumably have a negative effect on bond investments. Other components such as shares, funds and cash positions have been affected in a diverse way, yet to a minor extent. This implies that insurers tend to react to external stressors by beefing up the conservative part of their investments, potentially leading to an underperformance of managed assets. As such, our results point to conceivable regulatory implications, which would prevent those secondary negative detriments of life distribution growth (i.e., reselling), which are to be expected on the surveyed market. ER -
ŠINDELÁŘ, Jiří and Michal ERBEN. DOES DISTRIBUTION GROWTH AFFECT THE INSURERS’ ASSET ALLOCATION IN LIFE INSURANCE? THE CASE OF CENTRAL EUROPE. \textit{Prague Economic Papers}. Prague: University of Economics, 2021, vol.~30, No~1, p.~20-36. ISSN~1210-0455. Available from: https://dx.doi.org/10.18267/j.pep.752.
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