NDLI: Insurance activities and systemic risk

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Insurance activities and systemic risk

Content Provider	EconStor
Author	Berdin, Elia Sottocornolay, Matteo
Abstract	This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-a-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.
File Format	PDF
Language	English
Publisher	International Center for Insurance Regulation, House of Finance, Goethe University
Publisher Date	2015-01-01
Publisher Place	Frankfurt am Main
Access Restriction	Open
Rights Holder	http://www.econstor.eu/dspace/Nutzungsbedingungen
Subject Keyword	Systemic Risk Insurance Activities Systemically Important Financial Institutions Financial Crises Insurance; Insurance Companies; Actuarial Studies Financial Institutions and Services: Government Policy and Regulation Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Content Type	Text
Resource Type	Article

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