Assessing Systemic Risk of the European Insurance Industry

Elia Berdin and Matteo Sottocornola
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Matteo Sottocornola: EIOPA

No 6, EIOPA Financial Stability Report - Thematic Articles from EIOPA, Risks and Financial Stability Department

Abstract: This paper investigates the systemic relevance of the insurance industry. We do it by analysing the systemic contribution of the insurance industry vis-á-vis other industries by applying three measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, to three groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. Our evidence suggests that the insurance industry shows i) a persistent systemic relevance over time, ii) it plays a subordinate role in causing systemic risk compared to banks. In addition, iii) we do not find clear evidence on the higher systemic relevance of SIFI insurers compared to non-SIFIs.

Keywords: Insurance; Systemic Risk; financial stability (search for similar items in EconPapers)
JEL-codes: E27 G22 G28 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2015-12
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-ias and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Financial Stability Report, EIOPA, December 2015, pages 57-75

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