Assessing Systemic Risk in the Insurance Sector via Network Theory

Gian Paolo Clemente and Alessandra Cornaro

Papers from arXiv.org

Abstract: We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a global interconnected system. We model the reciprocal influence between insurers calibrating edge weights on the basis of specific risk measures. Therefore, we provide a suitable network indicator, the Weighted Effective Resistance Centrality, able to catch which is the effect of a specific vertex on the network robustness. By means of this indicator, we assess the prominence of a company in spreading and receiving risk from the others.

Date: 2020-11
New Economics Papers: this item is included in nep-ias, nep-net and nep-rmg
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Citations: View citations in EconPapers (1)

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