Insurance Sector Risk

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers.

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Year of publication:	2006-06-12
Authors:	Slijkerman, Jan Frederik
Institutions:	Tinbergen Instituut
Subject:	Systemic risk \| asymptotic dependence

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 06-062/2
Classification:	G15 - International Financial Markets ; G22 - Insurance; Insurance Companies ; G38 - Government Policy and Regulation ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011255587