Despite its importance implied in asset pricing and macroeconomic models, insurance against long-run volatility risk … show that households have directly purchased large quantities of insurance against long- run volatility risk through the … insurance companies. Total net assets with such insurance grew from zero when the guarantees were first introduced in the early …

The risk appetite of insurance companies fluctuates over time in a quasi cyclical fashion. When their capitalization is … the same source as the underwriting cycle, namely recapitalization costs. We build a simple dynamic model of the insurance …-standing empirical evidence on underwriting cycles and more recent evidence on the fluctuations of insurance companies’ risk appetite …

We offer a novel explanation of underwriting volatility in property-liability insurance markets in terms of private … equity value of insurance firms. Solvency regulations, however, pose a second source of risk to equity value when the …-reply underwriting strategy of a representative insurance firm and the implementation strategy of a representative regulator. Owing to …