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Assessing Systematic Risk in the Insurance Sector

24 Pages Posted: 8 Mar 2008  

Ivan Alves

European Central Bank

Steven C. J. Simon

Free University of Brussels

Date Written: February 1, 2008

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.

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

JEL Classification: C13, C22, G22

Suggested Citation

Alves, Ivan and Simon, Steven C. J., Assessing Systematic Risk in the Insurance Sector (February 1, 2008). Available at SSRN: https://ssrn.com/abstract=1101458 or http://dx.doi.org/10.2139/ssrn.1101458

Ivan B. Alves

European Central Bank ( email )

Kaiserstr. 29
Frankfurt am Main, 60311
Germany

Steven C. J. Simon (Contact Author)

Free University of Brussels ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

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