This paper examines the investment strategies of Italian insurers in order to assess whether companies act as financial market stabilizers and whether they continued to play this role after the beginning of the pandemic crisis, a period marked by high market volatility. The analysis has been carried out by using security-level data on the investments of each insurer in the main asset classes from 2017 to 2020.
During the period analysed, insurers adopted countercyclical investment strategies, increasing the exposure to securities whose prices had diminished. However, the capacity of insurance companies to mitigate market volatility declined during the most serious phase of the pandemic, especially for less capitalized ones. In contrast, insurers implemented procyclical strategies for investments relating to more volatile liabilities, such as unit- and index-linked policies.
