Systemic Risk in the European Insurance Sector

Giovanni Bonaccolto, Nicola Borri, Andrea Consiglio and Giorgio Di Giorgio

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Abstract: This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsectors, and across individual insurance companies. Using a common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall, we document that insurers are an important component of systemic-risk connectedness, especially during stress episodes. We also provide reduced-form evidence on economically relevant channels in the European institutional setting: aggregate insurer spillovers co-move with term spreads, sovereign spreads, and funding stress, and firm-level insurer-to-bank spillovers vary with sovereign risk and domestic sovereign-bond home bias in a way consistent with a balance-sheet channel. The analysis further reveals substantial heterogeneity across subsectors and identifies a stable core of systemically central insurers in firm-level networks.

Date: 2025-05, Revised 2026-05
New Economics Papers: this item is included in nep-eec and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2505.02635

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