---- Acknowledgements -----
A.M. Best Company and Compulife Software own the copyright to their respective data, which we use with permission. Koijen acknowledges financial support from the European Research Council (grant 338082). For comments and discussions, we thank Tobias Adrian, Daniel Bergstresser, Bruno Biais, Randolph Cohen, Liran Einav, Andrew Ellul, Francisco Gomes, Scott Harrington, Victoria Ivashina, Chotibhak Jotikasthira, Robert McDonald, Andrew Metrick, Alexander Michaelides, Alan Morrison, Adair Morse, Gregory Niehaus, Radek Paluszynski, and Harald Uhlig. We also thank participants at various seminars and conferences. 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.