Insurance Sector Risk

Jan Frederik Slijkerman ()
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Jan Frederik Slijkerman: Faculty of Economics, Erasmus Universiteit Rotterdam

No 06-062/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

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.

Keywords: Systemic risk; asymptotic dependence (search for similar items in EconPapers)
JEL-codes: C02 G15 G22 G38 (search for similar items in EconPapers)
Date: 2006-06-12
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20060062

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