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

• Tác giả: Anna Denkowska, Stanisław Wanat
• Ngôn ngữ: eng
• Ký hiệu phân loại: 368.9 Insurance by specific continents, countries, localities in modern world
• Thông tin xuất bản: 2019
• Bộ sưu tập: Báo, Tạp chí
• ID: 163172

Tóm tắt

Comment: JEL: G22This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in the European insurance sector which are obtained using correlation networks. These networks are based on dynamic dependence structures modelled using a copula. Then, we determine minimum spanning trees (MST). Finally, the linkage dynamics is described by means of selected topological network measures.