Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10250897" target="_blank" >RIV/61989100:27510/22:10250897 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612322000435?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612322000435?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2022.102718" target="_blank" >10.1016/j.frl.2022.102718</a>
Alternative languages
Result language
angličtina
Original language name
Catastrophic and systemic risk in the non-life insurance sector: A micro-structural contagion approach
Original language description
Borrowing from the interbank contagion literature, we propose a model to study the stability of non-life insurance sector in presence of catastrophic events. These events are increasingly common, and cause a large amount of damage in short periods. To account for this risk we introduce random and correlated reinsurance claims. We show in a simulation study that the sector is particularly sensitive to random correlated insurance claims, and the threat of systemic risk emerges. The risk persists even with highly diversified network structures. The work is relevant for regulators to define macro-prudential policies, and for practitioners to measure credit risk. (C) 2022
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modeling credit risk and system risk in the non-life insurance sector.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance Research Letters
ISSN
1544-6123
e-ISSN
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Volume of the periodical
47
Issue of the periodical within the volume
June
Country of publishing house
US - UNITED STATES
Number of pages
7
Pages from-to
102718
UT code for WoS article
000813430000009
EID of the result in the Scopus database
2-s2.0-85125115482