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Assessing Systemic Risk of the European Insurance Industry

Author

Listed:
  • Elia Berdin
  • Matteo Sottocornola

    (EIOPA)

Abstract

This paper investigates the systemic relevance of the insurance industry. We do it by analysing the systemic contribution of the insurance industry vis-á-vis other industries by applying three measures, namely the linear Granger causality test, conditional value at risk and marginal expected shortfall, to three groups, namely banks, insurers and non-financial companies listed in Europe over the last 14 years. Our evidence suggests that the insurance industry shows i) a persistent systemic relevance over time, ii) it plays a subordinate role in causing systemic risk compared to banks. In addition, iii) we do not find clear evidence on the higher systemic relevance of SIFI insurers compared to non-SIFIs.

Suggested Citation

  • Elia Berdin & Matteo Sottocornola, 2015. "Assessing Systemic Risk of the European Insurance Industry," EIOPA Financial Stability Report - Thematic Articles 6, EIOPA, Risks and Financial Stability Department.
    • Handle: RePEc:eio:thafsr:6
    as

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    File URL: https://www.eiopa.europa.eu/sites/default/files/financial_stability/assessing_systemic_risk_of_the_european_insurance_industry.pdf
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    References listed on IDEAS

    as
    1. Faisal Baluch & Stanley Mutenga & Chris Parsons, 2011. "Insurance, Systemic Risk and the Financial Crisis," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(1), pages 126-163, January.
    2. Eling, Martin & Pankoke, David, 2012. "Systemic Risk in the Insurance Sector – What Do We Know?," Working Papers on Finance 1222, University of St. Gallen, School of Finance.
    3. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    4. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    5. J. David Cummins & Mary A. Weiss, 2014. "Systemic Risk and The U.S. Insurance Sector," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 489-528, September.
    6. Hua Chen & J. David Cummins & Krupa S. Viswanathan & Mary A. Weiss, 2014. "Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 623-652, September.
    7. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Clemente, Gian Paolo & Cornaro, Alessandra, 2022. "A multilayer approach for systemic risk in the insurance sector," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).

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    More about this item

    Keywords

    Insurance; Systemic Risk; financial stability;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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