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Systemic risk assessment using complex networks approach: Evidence from the Brazilian (re)insurance market

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  • de França Carvalho, João Vinícius
  • Guimarães, Acássio Silva

Abstract

In this paper, we assess the systemic risk of the Brazilian (re)insurance market using static and dynamic complex network approach, where the companies are connected to each other through co-insurance, reinsurance and retrocession transactions. We found that some local reinsurers and non-life insurers act as bridges connecting the local and international markets. Furthermore, the Brazilian (re)insurance market is robust to extreme scenarios of insolvency, although there are points of vulnerability: a few local reinsurers and non-life insurers. Finally, this study contributes to the creation of a stress testing framework that relies solely on publicly available data.

Suggested Citation

  • de França Carvalho, João Vinícius & Guimarães, Acássio Silva, 2024. "Systemic risk assessment using complex networks approach: Evidence from the Brazilian (re)insurance market," Research in International Business and Finance, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923001915
    DOI: 10.1016/j.ribaf.2023.102065
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    More about this item

    Keywords

    Systemic risk; Contagion; Complex networks; Reinsurance; Insurance industry;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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