A multilayer approach for systemic risk in the insurance sector

Gian Paolo Clemente and Alessandra Cornaro

Chaos, Solitons & Fractals, 2022, vol. 162, issue C

Abstract: In this paper, we provide a methodology suitable to identify relevant insurance companies in a systemic risk framework. To this end, we propose a complex network approach where insurers are linked to form a global interconnected system. In particular, we extend the current literature proposing an approach based on a directed weighted multilayer network. The reciprocal influence between insurers is indeed considered in each period and in subsequent periods, calibrating arc weights on the basis of specific risk measures. Hub and authority scores are then used to assess the prominence of a company in spreading and receiving risk from the others.

Keywords: Systemic risk; Insurance market; Hubs and authority; Market-based risk measures; Multilayer network (search for similar items in EconPapers)
JEL-codes: D85 G01 G28 G32 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006087

DOI: 10.1016/j.chaos.2022.112398

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