Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86305
Authors: 
Slijkerman, Jan Frederik
Year of Publication: 
2006
Series/Report no.: 
Tinbergen Institute Discussion Paper 06-062/2
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.
Subjects: 
Systemic risk
asymptotic dependence
JEL: 
G15
G22
G38
C02
Document Type: 
Working Paper

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