arbiter
JournalsAccount

The influence of negative interest rates on European life insurance companies

Nicolaus Grochola

Journal of Risk and Insurance2026https://doi.org/10.1111/jori.70044article
AJG 3ABDC A
Weight
0.50

Abstract

Between 2016 and 2022, life insurers in several European countries experienced negative long‐term interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To measure the sensitivities, I estimate the level, slope, and curvature of the yield curve using the Nelson‐Siegel model and empirical proxies. Panel regressions show that the effect of changes in the level is up to 2.8 times greater in a negative interest rate environment than in a positive one. Thus, a 1ppt decline in the interest rate level reduces European life insurers' stock returns by more than 10ppt when long‐term interest rates are below 0%. The study also demonstrates that the relationship between the level and the sensitivity to interest rates is convex, and that accounting for the slope and curvature can prevent biased estimates.

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1111/jori.70044

Or copy a formatted citation

@article{nicolaus2026,
  title        = {{The influence of negative interest rates on European life insurance companies}},
  author       = {Nicolaus Grochola},
  journal      = {Journal of Risk and Insurance},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1111/jori.70044},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

The influence of negative interest rates on European life insurance companies

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.