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.

asymptotic dependence, systemic risk
Mathematical Methods (jel C02), International Financial Markets (jel G15), Insurance; Insurance Companies (jel G22), Government Policy and Regulation (jel G38)
hdl.handle.net/1765/7876
Tinbergen Institute Discussion Paper Series
Tinbergen Institute

Slijkerman, J.F. (2006). Insurance Sector Risk (No. TI 06-062/2). Tinbergen Institute Discussion Paper Series. Retrieved from http://hdl.handle.net/1765/7876