Accounting disclosures of derivative securities in the insurance industry.

The Financial Accounting Standards Board recently issued three new statements (Nos. 105, 107, and 119) that revise the required reporting for derivative instruments. These disclosures provide users with information about off-balance sheet risk and obligations. This dissertation examines whether the disclosures are reflected in market risk measures or in equity value of insurance firms. In 1995, the FASB asked constituents to consider changes in disclosure requirements to eliminate or reduce the cost of disclosures while continuing to provide relevant information. By examining the market's use of required derivative disclosures in assessing equity risk and value, the usefulness of the new disclosures can be evaluated.