Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2006-06-12
Number: 06-062/2
Author-Name: Jan Frederik Slijkerman
Author-Email: JSlijkerman@AEGON.NL
Author-Workplace-Name: Faculty of Economics, Erasmus Universiteit Rotterdam
Title: Insurance Sector Risk
Abstract: We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers.
Classification-JEL: G15; G22; G38; C02
Keywords: Systemic risk; asymptotic dependence
File-Url: https://papers.tinbergen.nl/06062.pdf
File-Format: application/pdf
File-Size: 240087 bytes
Handle: RePEc:tin:wpaper:20060062