Assessing Systematic Risk in the Insurance Sector

24 Pages Posted: 8 Mar 2008

See all articles by Ivan Alves

Ivan Alves

European Central Bank

Steven C. J. Simon

Free University of Brussels

Date Written: February 1, 2008


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.

Keywords: Systematic risk, extreme-value dependence, insurance campanies

JEL Classification: C13, C22, G22

Suggested Citation

Alves, Ivan B. and Simon, Steven C. J., Assessing Systematic Risk in the Insurance Sector (February 1, 2008). Available at SSRN: or

Ivan B. Alves

European Central Bank ( email )

Kaiserstr. 29
Frankfurt am Main, 60311

Steven C. J. Simon (Contact Author)

Free University of Brussels ( email )

Pleinlaan 2
Brussels, 1050

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