Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees

This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in the European insurance sector which are obtained using correla...

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Bibliographic Details
Published in:arXiv.org 2019-08
Main Authors: Denkowska, Anna, Wanat, Stanisław
Format: Article
Language:English
Subjects:
Dependence
Graph theory
Insurance
Reinsurance
Risk
Online Access:Get full text
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Summary:This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in the European insurance sector which are obtained using correlation networks. These networks are based on dynamic dependence structures modelled using a copula. Then, we determine minimum spanning trees (MST). Finally, the linkage dynamics is described by means of selected topological network measures.
ISSN:2331-8422