In this paper, we provide a methodology suitable to identify relevant insurance companies in a systemic risk framework. To this end, we propose a complex network approach where insurers are linked to form a global interconnected system. In particular, we extend the current literature proposing an approach based on a directed weighted multilayer network. The reciprocal influence between insurers is indeed considered in each period and in subsequent periods, calibrating arc weights on the basis of specific risk measures. Hub and authority scores are then used to assess the prominence of a company in spreading and receiving risk from the others.

Clemente, G., & Cornaro, A. (2022). A multilayer approach for systemic risk in the insurance sector. CHAOS, SOLITONS AND FRACTALS, 162(September 2022) [10.1016/j.chaos.2022.112398].

A multilayer approach for systemic risk in the insurance sector

Cornaro, Alessandra
2022

Abstract

In this paper, we provide a methodology suitable to identify relevant insurance companies in a systemic risk framework. To this end, we propose a complex network approach where insurers are linked to form a global interconnected system. In particular, we extend the current literature proposing an approach based on a directed weighted multilayer network. The reciprocal influence between insurers is indeed considered in each period and in subsequent periods, calibrating arc weights on the basis of specific risk measures. Hub and authority scores are then used to assess the prominence of a company in spreading and receiving risk from the others.
Articolo in rivista - Articolo scientifico
Scientifica
Hubs and authority; Insurance market; Market-based risk measures; Multilayer network; Systemic risk;
English
Clemente, G., & Cornaro, A. (2022). A multilayer approach for systemic risk in the insurance sector. CHAOS, SOLITONS AND FRACTALS, 162(September 2022) [10.1016/j.chaos.2022.112398].
Clemente, G; Cornaro, A
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/387986
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