Centro de Documentacion de Fundación MAPFRE

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      <subfield code="a">Reinsurance and systemic risk</subfield>
      <subfield code="b">: the impact of reinsurer downgrading on property-casualty insurers</subfield>
      <subfield code="c">Sojung Carol Park, Xiaoying Xie</subfield>
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      <subfield code="a">This article analyzes the interconnectedness between reinsurers and U.S. propertycasualty (P/C) insurers and presents the first detailed examination on the likely impact of major global reinsurer insolvency on the U.S. P/C insurance industry, in order to illustrate the potential systemic risk caused by the interconnectedness of the insurance sector through reinsurance. We find that the likelihood of a primary insurer's downgrade increases with its reinsurance default risk exposure from downgraded reinsurers. Counterparty primary insurers' stocks also react negatively to their reinsurers' downgrades. The negative effects also spill over to insurers that are not directly exposed to the credit risk of downgraded reinsurers. Despite the close interconnectedness, worst-case scenario analyses show that the likelihood of systemic risk caused by reinsurance transactions is relatively small for the U.S. P/C insurance industry.</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/09/2014 Volumen 81 Número 3 - septiembre 2014 </subfield>
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Reinsurance and systemic risk : the impact of reinsurer downgrading on property-casualty insurers
