NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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The Fragility of Market Risk Insurance

Ralph Koijen, Motohiro Yogo

NBER Working Paper No. 24182
Issued in January 2018, Revised in May 2018

---- Acknowledgments ----

A.M. Best Company, Morningstar, and the NAIC own the copyright to their respective data, which we use with permission under their license agreements with Princeton University and London Business School. This paper is based upon work supported by the National Science Foundation under grant 1727049 and the Julis-Rabinowitz Center for Public Policy and Finance. We thank Adam Xu and Zhen Ye for assistance on constructing data from Morningstar Annuity Intelligence. For comments and discussions, we thank Naoki Aizawa, Mark Flannery, Victoria Ivashina, Arvind Krishnamurthy, Emanuel Mönch, Borghan Narajabad, Theo Nijman, Anna Paulson, Richard Rosen, and Donghwa Shin. We also thank seminar participants at Boston University; Federal Reserve Bank of Minneapolis; Federal Reserve Board; Michigan State; NYU; Ohio State; Princeton; Temple; UC Berkeley; UCLA; University of Chicago; University of Delaware; University of Maryland; University of Michigan; UNC; University of South Carolina; UVA; Derivatives and Volatility 2017: The State of the Art; 2017 DNB/Riksbank Macroprudential Conference; 2017 SITE Workshop on Financial Regulation; 2017 NBER Conference on Financial Market Regulation; 2017 ICPM-Netspar Discussion Forum; 2017 IMF Conference on Monetary, Financial, and Prudential Policy Interactions in the Post-Crisis World; 2017 NBER Insurance Meeting; and 2018Macroeconomics of Pensions and Retirement Financing Conference. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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