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Insurance Sector Risk

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Author Info
Jan Frederik Slijkerman () (Faculty of Economics, Erasmus Universiteit Rotterdam)
Abstract

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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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 06-062/2.

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Date of creation: 12 Jun 2006
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Handle: RePEc:dgr:uvatin:20060062

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: Systemic risk; asymptotic dependence;

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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
G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Terri M. Vaughan, 2004. "Financial Stability and Insurance Supervision: The Future of Prudential Supervision," The Geneva Papers on Risk and Insurance, The International Association for the Study of Insurance Economics, vol. 29(2), pages 258-272, 04. [Downloadable!] (restricted)
  2. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February. [Downloadable!] (restricted)
  3. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October. [Downloadable!] (restricted)
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  4. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  5. Terri M Vaughan, 2004. "Financial Stability and Insurance Supervision: The Future of Prudential Supervision," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 29(2), pages 258-272, April. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Oleg Sheremet & André Lucas, 2008. "Global Loss Diversification in the Insurance Sector," Tinbergen Institute Discussion Papers 08-086/2, Tinbergen Institute. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-26.

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