Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167322
Authors: 
Kubitza, Christian
Regele, Fabian
Year of Publication: 
2017
Series/Report no.: 
ICIR Working Paper Series 30/17
Abstract: 
Different insurance activities exhibit different levels of persistence of shocks and volatility. For example, life insurance is typically more persistent but less volatile than non-life insurance. We examine how diversification among life, non-life insurance, and active reinsurance business affects an insurer's contribution and exposure to the risk of other companies. Our model shows that a counterparty's credit risk exposure to an insurance group substantially depends on the relative proportion of the insurance group's life and non-life business. The empirical analysis confirms this finding with respect to several measures for spillover risk. The optimal proportion of life business that minimizes spillover risk decreases with leverage of the insurance group, and increases with active reinsurance business.
Subjects: 
Insurance Companies
Financial Stability
Persistence
JEL: 
G01
G22
G23
G28
Document Type: 
Working Paper

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