Insurance activities and systemic risk

  • This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, on 3 groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. We then analyze the determinants of the systemic risk contribution within the insurance industry by using balance sheet level data in a broader sample. Our evidence suggests that i) the insurance industry shows a persistent systemic relevance over time and plays a subordinate role in causing systemic risk compared to banks, and that ii) within the industry, those insurers which engage more in non-insurance-related activities tend to pose more systemic risk. In addition, we are among the first to provide empirical evidence on the role of diversification as potential determinant of systemic risk in the insurance industry. Finally, we confirm that size is also a significant driver of systemic risk, whereas price-to-book ratio and leverage display counterintuitive results.

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Metadaten
Author:Elia BerdinORCiDGND, Matteo Sottocornola
URN:urn:nbn:de:hebis:30:3-392981
URL:http://ssrn.com/abstract=2701821
DOI:https://doi.org/10.2139/ssrn.2701821
Parent Title (English):SAFE working paper series ; No. 121
Series (Serial Number):SAFE working paper (121)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Date of Publication (online):2015/12/11
Date of first Publication:2015/12/11
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2016/02/02
Tag:Insurance Activities; Systemic Risk; Systemically Important Financial Institutions
Page Number:51
HeBIS-PPN:372417671
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht