{"title":"Assessing Systematic Risk in the Insurance Sector","authors":"I. Alves, Steven C. J. Simon","doi":"10.2139/ssrn.1101458","DOIUrl":null,"url":null,"abstract":"We test for the occurrence of extreme-value dependence between equity returns of European insurance companies. The results show that this form of dependence is evident among insurance companies, in particular among the larger composite insurers. Looking at which factors drive the occurrence of extreme-value dependence, we find that both exposure to extreme financial market events and non-life underwriting are important drivers of extreme-value dependence between insurance companies.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Macroeconomics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1101458","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We test for the occurrence of extreme-value dependence between equity returns of European insurance companies. The results show that this form of dependence is evident among insurance companies, in particular among the larger composite insurers. Looking at which factors drive the occurrence of extreme-value dependence, we find that both exposure to extreme financial market events and non-life underwriting are important drivers of extreme-value dependence between insurance companies.