Abstract This paper focuses on analysing the sensitivity and behaviour of some of the leading insurers currently operating in the Euro area to changes in benchmark interest rates. The methodology used is the Quantile Regression (QR) approach and the period analysed covers from 2003 to 2015 around the recent global financial crisis. The empirical results show that European insurance market returns have a statistically significant sensitivity to interest rate variations and that there are important differences according to the period analysed, being the sensitivity most pronounced in extreme market conditions.

中文翻译：

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欧洲保险公司的利率风险

摘要本文着重分析目前在欧元区运营的一些领先保险公司对基准利率变化的敏感性和行为。使用的方法是分位数回归（QR）方法，所分析的期间涵盖了从2003年到2015年的近期全球金融危机。实证结果表明，欧洲保险市场收益率对利率变动具有统计学上的显着敏感性，并且根据所分析的时期存在重要差异，这是在极端市场条件下最为明显的敏感性。