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

João Vinícius de França Carvalho and Acássio Silva Guimarães

Research in International Business and Finance, 2024, vol. 67, issue PA

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.

Keywords: Systemic risk; Contagion; Complex networks; Reinsurance; Insurance industry (search for similar items in EconPapers)
JEL-codes: C45 G01 G22 L14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923001915

DOI: 10.1016/j.ribaf.2023.102065

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