MAP20150019141Zimmermann, JochenMeasuring risk premiums using financial reports and actuarial disclosures / Jochen Zimmermann, Stefan Veith, Johannes SchymczykSumario: Insurance companies increasingly augment their financial reports by releasing actuarial measuresthe so-called embedded valueto supply information about the value of their life insurance activities. Both accounting and actuarial measures differ with respect to the timeliness of profit realisation and its reliability, and their performance in yielding information may differ. This paper asks if and how embedded values help in assessing risk premiums. We estimate multifactor market models in the spirit of Fama and French, and find that actuarial disclosures are superior to financial accounting in estimating these risk premiums. They further add information to financial reports as an estimator for growth opportunitiesEn: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 06/04/2015 Volumen 40 Número 2 - abril 2015 I. Title.
