We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a global interconnected system. We model the reciprocal influence between insurers calibrating edge weights on the basis of specific risk measures. Therefore, we provide a suitable network indicator, the Weighted Effective Resistance Centrality, able to catch which is the effect of a specific vertex on the network robustness. By means of this indicator, we assess the prominence of a company in spreading and receiving risk from the others.

Clemente, G., Cornaro, A. (2023). Assessing Systemic Risk in the Insurance Sector Via Network Theory. VARIANCE, 16(2), 1-18.

Assessing Systemic Risk in the Insurance Sector Via Network Theory

Cornaro, A
2023

Abstract

We provide a framework for detecting relevant insurance companies in a systemic risk perspective. Among the alternative methodologies for measuring systemic risk, we propose a complex network approach where insurers are linked to form a global interconnected system. We model the reciprocal influence between insurers calibrating edge weights on the basis of specific risk measures. Therefore, we provide a suitable network indicator, the Weighted Effective Resistance Centrality, able to catch which is the effect of a specific vertex on the network robustness. By means of this indicator, we assess the prominence of a company in spreading and receiving risk from the others.
Articolo in rivista - Articolo scientifico
Systemic risk, insurance market, robustness and vulnerability of complex network, market-based risk measures
English
2023
16
2
1
18
none
Clemente, G., Cornaro, A. (2023). Assessing Systemic Risk in the Insurance Sector Via Network Theory. VARIANCE, 16(2), 1-18.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/429900
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