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Macroprudential Insurance Regulation: A Swiss Case Study

Listed author(s):
  • Philippe Deprez

    ()

    (RiskLab, Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland)

  • Mario V. Wüthrich

    ()

    (RiskLab, Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland
    Swiss Finance Institute, Walchestrasse 9, 8006 Zurich, Switzerland)

Registered author(s):

    This article provides a case study that analyzes national macroprudential insurance regulation in Switzerland. We consider an insurance market that is based on data from the Swiss private insurance industry. We stress this market with several scenarios related to financial and insurance risks, and we analyze the resulting risk capitals of the insurance companies. This stress-test analysis provides insights into the vulnerability of the Swiss private insurance sector to different risks and shocks.

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    File URL: http://www.mdpi.com/2227-9091/4/4/47/pdf
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    Article provided by MDPI, Open Access Journal in its journal Risks.

    Volume (Year): 4 (2016)
    Issue (Month): 4 (December)
    Pages: 1-30

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    Handle: RePEc:gam:jrisks:v:4:y:2016:i:4:p:47-:d:85218
    Contact details of provider: Web page: http://www.mdpi.com/

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    1. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    2. J. David Cummins & Mary A. Weiss, 2014. "Systemic Risk and The U.S. Insurance Sector," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 489-528, September.
    3. Denis Kessler, 2014. "Why (Re)insurance is Not Systemic," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 477-488, September.
    4. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    5. Hua Chen & J. David Cummins & Krupa S. Viswanathan & Mary A. Weiss, 2014. "Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 623-652, September.
    6. Scott E. Harrington, 2009. "The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 785-819.
    7. Berdin, Elia & Sottocornola, Matteo, 2015. "Insurance activities and systemic risk," SAFE Working Paper Series 121, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    8. Berdin, Elia & Sottocornolay, Matteo, 2015. "Insurance activities and systemic risk," ICIR Working Paper Series 19/15, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
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