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Insurance Sector Risk

Author

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  • 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.

Suggested Citation

  • Jan Frederik Slijkerman, 2006. "Insurance Sector Risk," Tinbergen Institute Discussion Papers 06-062/2, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20060062
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    File URL: https://papers.tinbergen.nl/06062.pdf
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    References listed on IDEAS

    as
    1. 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;The Geneva Association, vol. 29(2), pages 258-272, April.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    Cited by:

    1. Sheremet, Oleg & Lucas, André, 2009. "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 415-425, June.
    2. Norsida M. & Mohd. Fauzi F. & Muhammad Aliff Y., 2018. "Examining Fisherman Perception towards Climate Change Impacts and Fishery Agencies," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 8(2), pages 363-381, February.

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    More about this item

    Keywords

    Systemic risk; asymptotic dependence;

    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

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