Designing a countercyclical insurance program for systemic risk

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<title>Designing a countercyclical insurance program for systemic risk</title>
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<namePart>Boyle, Phelim</namePart>
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<abstract displayLabel="Summary">This article proposes a framework for measuring and managing systemic risk. Current solvency regulations have been criticized for their focus on individual firms rather than the system as a whole. We show how an insurance program can be designed to deal with systemic risk through a risk charge on participating institutions. The risk charge is based on the generalized co-conditional tail expectation, a conditional risk measure adapted from conditional value-at-risk. Current regulations have been criticized on the grounds that their capital requirements are procyclical. They require extra capital in periods of extreme stress thus exacerbating a crisis. We show how to construct a countercyclical risk charge and illustrate the approach using a numerical example.</abstract>
<note type="statement of responsibility">Phelim Boyle, Joseph H. T. Kim</note>
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<topic>Riesgo sistémico</topic>
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<topic>Solvencia</topic>
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<topic>Mercado de seguros</topic>
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<topic>Mercados financieros</topic>
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<topic>Gerencia de riesgos</topic>
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<topic>Programas de seguros</topic>
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<topic>Crisis financiera</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
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<text>03/12/2012 Volumen 79 Número 4  - diciembre 2012 , p. 963-993</text>
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