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Tail risk networks of insurers around the globe : an empirical examination of systemic risk for G-SIIs vs non-G-SIIs

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<title>Tail risk networks of insurers around the globe</title>
<subTitle>: an empirical examination of systemic risk for G-SIIs vs non-G-SIIs</subTitle>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20150014856">
<namePart>Sun, Tao</namePart>
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<dateIssued encoding="marc">2020</dateIssued>
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<abstract displayLabel="Summary">In this article, we investigate systemic risk of 157 insurers around the globe. We construct tail risk networks among these insurers using a single-index model for quantile regressions with a variable selection technique. We develop a new network-based systemic risk indices, taking into account expected tail losses of insurers, direct and indirect contagion effects, and the time-varying strength of tail risk spillover. Our systemic risk indices successfully recognize global systemically important insurers (G-SIIs). We find that on average G-SIIs are more systemically relevant than non-G-SIIs, particularly during the recent U.S. financial crisis. We also find a small group of non-G-SIIs that are more important than G-SIIs. Our results have significant implications for systemic risk regulation.</abstract>
<note type="statement of responsibility">Hua Chen, Tao Sun</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100016923">
<topic>Riesgo sistémico</topic>
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<topic>Empresas de seguros</topic>
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<topic>Gerencia de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586294">
<topic>Mercado de seguros</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>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 285-318</text>
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