Macro-prudential risk management in insurancereinsurance networks. Influence of market concentration

• Anna Castañer ^[1] ; M. Mercè Claramunt ^[1] ; Claude Lefèvre ^[2] ; Stéphane Loisel ^[3]
  1. [1] Universitat de Barcelona

     Universitat de Barcelona

     Barcelona, España

     
  2. [2] Université Libre de Bruxelles

     Université Libre de Bruxelles

     Arrondissement Brussel-Hoofdstad, Bélgica

     
  3. [3] University of Lyon System

     University of Lyon System

     Arrondissement de Lyon, Francia

     

  Mostrar afiliaciones +
• Localización: Contributions to risk analysis: risk 2018 / coord. por José María Sarabia Alegría , Faustino Prieto Mendoza , Montserrat Guillén Estany , 2018, ISBN 978-84-9844-683-8, págs. 117-124
• Idioma: español
• Texto completo no disponible (Saber más ...)
• Resumen

  • Partially Schur-constant models are naturally involved in top-down macro-risk management. In a simplified insurance-reinsurance network, we consider an insurance regulator concerned with systemic risk created by potentially large events like nuclear terrorism or mega- earthquakes. Within our setting, the regulator uses a model that provides a distribution of the random total loss for the insurance industry if one catastrophic event occurs, as well as a joint model for the aggregate insurance losses that reflects dependencies. Our main interest is the probability of default and the probability of insolvency of each of the insurers and the reinsurers that participate in the network. In this paper, we focus our attention on the influence that the number of participants in the network has on the previous probabilities.