Insurance Sector Risk
AbstractWe 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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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 06-062/2.
Date of creation: 12 Jun 2006
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Systemic risk; asymptotic dependence;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-21 (All new papers)
- NEP-BEC-2006-07-21 (Business Economics)
- NEP-EEC-2006-07-21 (European Economics)
- NEP-FIN-2006-07-21 (Finance)
- NEP-FMK-2006-07-21 (Financial Markets)
- NEP-IAS-2006-07-21 (Insurance Economics)
- NEP-RMG-2006-07-21 (Risk Management)
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