arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1908.01142q-fin.STecon.GNq-fin.EC
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欧洲保险业的联系和系统性风险:基于动态生成树的新证据

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

Anna Denkowska, Stanisław Wanat

摘要:

本文是关于保险公司之间的相互联系及其对保险市场系统性风险的贡献的研究的一部分。其主要目的是提出的结果的联动动态和系统性风险在欧洲保险业的相关网络获得的分析。这些网络是基于使用copula建模的动态依赖结构。然后,我们确定最小生成树(MST)。最后,通过选择的拓扑网络措施描述的连杆动力学。

英文摘要:

This 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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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