Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the … Europe over the last 14 years. We then analyze the determinants of the systemic risk contribution within the insurance …) within the industry, those insurers which engage more in non-insurance-related activities tend to pose more systemic risk. In …

This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the … Europe over the last 14 years. We then analyze the determinants of the systemic risk contribution within the insurance …) within the industry, those insurers which engage more in non-insurance-related activities tend to pose more systemic risk. In …

systemic risk. Equity capital acts as a buffer against losses, and reduces incentives for excessive risk taking. Basel capital … lower capital requirements resulting in excessive risk taking. Furthermore, the bank and the CDS seller (insurer) prefer … high correlation in their returns and jointly shift the risk to the regulator. CDS can be traded at a price higher than its …

risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees …

-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic … risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …

the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The …

Most traditional insurance companies have escaped the financial storms during 2007-2009 while companies engaging in … financial risk taking were not this lucky. In this study, we examine the performance of financial risk insurers and analyze the … contributing role of financial risk insurers to systemic risk during the crisis. First, we find a subset of financial risk …

systemic risk in the insurance sector. Using the systemic risk measure, we examine the inter-connectedness between banks and … create significant systemic risk for insurers but not vice versa …

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …