---- Acknowledgements -----
A.M. Best Company and Compulife Software own the copyright to their respective data, which we use with permission. For comments and discussions, we thank Bruno Biais, Francisco Gomes, Scott Harrington, Thomas Holmes, Victoria Ivashina, Alan Morrison, Adair Morse, Gregory Niehaus, Radek Paluszynski, and Harald Uhlig. We also thank seminar participants at Arizona State University; Bank of England; Columbia University; Federal Reserve Bank of Minneapolis; Federal Reserve Board; Harvard University; INSEAD; Institute for International Economic Studies; London Business School; Stockholm School of Economics; Toulouse School of Economics; University of Alberta, British Columbia, California Berkeley, Illinois at Chicago, Minnesota, and South Carolina; UCSD; Uppsala University; 2013 FRIC Conference on Financial Frictions; 2014 NBER Insurance Working Group Meeting; and 2014 Adam Smith Asset Pricing Workshop. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis, the Federal Reserve System, or the National Bureau of Economic Research.