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Post by Sapphire Capital on Oct 23, 2008 22:54:21 GMT 4
Foreign Exchange Exposure: Evidence from the U.S. Insurance Industry Donghui Li University of New South Wales - School of Banking and Finance Fariborz Moshirian University of New South Wales - School of Banking and Finance Timothy Wee Citigroup, Inc. - Hong Kong Eliza Wu University of New South Wales - School of Banking and Finance Journal of International Financial Markets, Institutions & Money, Forthcoming Abstract: We study the foreign exchange exposure of U.S. insurers. The evidence shows that no systematic difference exists in the currency risk profiles of life and non-life segments within the insurance industry. This suggests that life and non-life insurers have similar risk exposure management strategies arising from similar risk pooling and financial intermediary functions. The empirical results reveal that a sizable proportion of U.S. insurers are exposed to foreign exchange movements against the seven largest U.S. trade partners in insurance services (U.K., Japan, Switzerland, Netherlands, France, Germany and Canada). Significant operational and size effects are also documented and we find that the frequency of foreign exchange exposure increases with time horizon. papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1275633_code512865.pdf?abstractid=1275633&mirid=3
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