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

Anna Castañer Garriga, M. Mercè Claramunt Bielsa , Claude Lefèvre, Stéphane Loisel

• 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.