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A multilayer approach for systemic risk in the insurance sector

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  • Clemente, Gian Paolo
  • Cornaro, Alessandra

Abstract

In this paper, we provide a methodology suitable to identify relevant insurance companies in a systemic risk framework. To this end, we propose a complex network approach where insurers are linked to form a global interconnected system. In particular, we extend the current literature proposing an approach based on a directed weighted multilayer network. The reciprocal influence between insurers is indeed considered in each period and in subsequent periods, calibrating arc weights on the basis of specific risk measures. Hub and authority scores are then used to assess the prominence of a company in spreading and receiving risk from the others.

Suggested Citation

  • Clemente, Gian Paolo & Cornaro, Alessandra, 2022. "A multilayer approach for systemic risk in the insurance sector," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
    • Handle: RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006087
    DOI: 10.1016/j.chaos.2022.112398
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    2. Cerqueti, Roy & Deffains-Crapsky, Catherine & Storani, Saverio, 2022. "Similarity-based heterogeneity and cohesiveness of networked companies issuing minibonds," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).

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    More about this item

    Keywords

    Systemic risk; Insurance market; Hubs and authority; Market-based risk measures; Multilayer network;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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