Linkages and systemic risk in the European insurance sector: Some new\n evidence based on dynamic spanning trees

2019/08/03 by Anna Denkowska, Denkowska, Anna, Stanisław Wanat +2
Economics, Econometrics and Finance · Social Sciences · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #General Economics (econ.GN) #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Statistical Finance (q-fin.ST)

paper · pdf · doi:10.48550/arxiv.1908.01142

openalex publication_date 2019/08/03 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28

Abstract

This paper is part of the research on the interlinkages between insurers and\ntheir contribution to systemic risk on the insurance market. Its main purpose\nis to present the results of the analysis of linkage dynamics and systemic risk\nin the European insurance sector which are obtained using correlation networks.\nThese networks are based on dynamic dependence structures modelled using a\ncopula. Then, we determine minimum spanning trees (MST). Finally, the linkage\ndynamics is described by means of selected topological network measures.\n

Citations

• Conditional Heteroskedasticity in Asset Returns: A New Approach

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