Authors: | Bierth, Christopher |
Title: | Essays on risk management and systemic risk in insurance |
Language (ISO): | en |
Abstract: | The dissertation contributes to the discussion on risk management, financial stability, and the corresponding regulation of insurance companies in the form of five independent articles that empirically assess different aspects of risk management and financial default risk of insurers. The first article studies extreme dependence structures in equity markets as well as cross-dependences between credit derivatives and equities. The following two studies examine the issue of systemic risk in the insurance sector and explore the methodology of regulators to identify systemically important insurers. The fourth article of the dissertation is dedicated to the solvency regulation and its effect on the idiosyncratic risks of insurers. The final paper of the dissertation empirically investigates the impact of derivatives usage by U.S. insurers on the insurers' respective default risk and its exposure to systemic risk. |
Subject Headings: | Regular vines Tail dependence Credit risk Liquidity risk Derivatives hedging Insurance Systemic risk |
Subject Headings (RSWK): | Versicherungswirtschaft / Risikomanagement |
URI: | http://hdl.handle.net/2003/34847 http://dx.doi.org/10.17877/DE290R-16899 |
Issue Date: | 2016 |
Appears in Collections: | Professur Finance |
Files in This Item:
File | Description | Size | Format | |
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Dissertation.pdf | DNB | 1.97 MB | Adobe PDF | View/Open |
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