24 Pages Posted: 8 Mar 2008
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: 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