Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees

Anna Denkowska and Stanisław Wanat ()

Papers from arXiv.org

Abstract: This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in the European insurance sector which are obtained using correlation networks. These networks are based on dynamic dependence structures modelled using a copula. Then, we determine minimum spanning trees (MST). Finally, the linkage dynamics is described by means of selected topological network measures.

Date: 2019-08, Revised 2019-08
New Economics Papers: this item is included in nep-ias and nep-rmg
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1908.01142

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