Anna Denkowska , Stanisław Wanat

(English) PDF


This work is a response to the EIOPA paper entitled ‘Systemic risk and macroprudential policy in insurance’, which asserts that in order to evaluate the potential systemic risk (SR), the build-up of risk, especially risk arising over time, should be taken into account, as well as the interlinkages occurring in the financial sector and the whole economy. The topological indices of minimum spanning trees (MST) and the deltaCoVaR measure are the main tools used to analyse the systemic risk dynamics in the European insurance sector in the years 2005-2019. The article analyses the contribution of each of the 28 largest European insurance companies, including those appearing on the G-SIIs list, to systemic risk. Moreover, the paper aims to determine whether the most important contribution to systemic risk is made by companies with the highest betweenness centrality or the highest degree in the obtained MST.


systemic risk, minimum spanning trees, deltaCoVaR, insurance sector


Acharya, V. V., Pedersen, L. H., Philippon, T. and Richardson, M. P., (2010). Measuring Systemic Risk, SSRN Electronic Journal, doi:10.2139/ssrn.1573171

Adrian, T., Brunnermeier, M., (2011). Covar. Princeton University Working Paper.

Alves, I., Brinkhoff, J., Georgiev, S., Heam, J-C., Moldovan, I., and di Carlo M.S., (2015). Network analysis of the EU insurance sector, ESRB Occasional Paper Series 07, European Systemic Risk Board.

Baluch, F., Mutenga, S. and Parsons, C., (2011). Insurance, Systemic Risk and the Financial Crisis, “The Geneva Papers on Risk and Insurance - Issues and Practice”, Vol. 36(1), pp. 126–163, doi:10.1057/gpp.2010.40.

Bednarczyk, T., (2013). Czy sektor ubezpieczeniowy kreuje ryzyko systemowe?, „Studia Oeconomica Posnaniensia”, Vol. 11 (260), pp. 7–17.

Bell, M., Keller, B., (2009). Insurance and Stability: The Reform of Insurance Regulation, Zurich Financial Services Group Working Paper.

Bierth, C., Irresberger, F. and Weiß, G. N., (2015). Systemic risk of insurers around the globe. “Journal of Banking & Finance”, 55, pp. 232–245, doi:10.1016/j.jbankfin.2015.02.014.

Billio, M., Getmansky, M., Lo, A. W. and Pelizzon, L., (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors, “Journal of Financial Economics”, Vol. 104(3), pp. 535–559, doi:10.1016/j.jfineco.2011.12.010.

Chen, H., Cummins, J. D., Viswanathan, K. S. and Weiss, M. A., (2013). Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis, “Journal of Risk and Insurance”, Vol. 81(3), pp. 623–652, doi:10.1111/j.1539-6975.2012.01503.x.

Cummins, J. D., Weiss, M. A., (2014). Systemic Risk and The U.S. Insurance Sector, “Journal of Risk and Insurance”, Vol. 81(3), pp. 489–528, doi:10.1111/jori.12039.

Czerwińska, T., (2014). Systemic risk in the insurance sector, „Problemy Zarządzania”, Vol. 12(48), pp. 41–63, doi:10.7172/1644-9584.48.3.

EIOPA, (2017). Systemic risk and macroprudential policy in insurance. Luxembourg: Publications Office of the European Union.

Geneva Association, (2010). Systemic risk in insurance: an analysis of insurance and financial stability, Technical report, Special Report of The Geneva Association Systemic Risk Working Group, Switzerland.

Harrington, S. E., (2009). The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation, “Journal of Risk and Insurance”, Vol. 76(4), pp. 785–819.

IAIS, (2013). Global Systemically Important Insurers: Final Initial Assessment Methodology, International Association of Insurance Supervisors, Basel.

IAIS, (2016). Global Systemically Important Insurers: Updated Assessment Methodology, International Association of Insurance Supervisors, Basel.

Mantegna, R. N., (1999). Hierarchical structure in financial markets, Eur. Phys. J. B 11(1), pp. 193–197.

Weiß, G. N., Mühlnickel, J., (2014). Why do some insurers become systemically relevant?. “Journal of Financial Stability”, Vol. 13, pp. 95–117.

Wanat, S., Denkowska, A., (2019). Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees, arXiv:1908.01142.

William, K., Sjostrum, Jr., (2009). The AIG Bailout, 66 Wash. & LeeL. Rev. 943.

Back to top
Copyright © 2019 Statistics Poland