An empirical assessment of reinsurance risk

Iman van Lelyveld*, Franka Liedorp, Manuel Kampman

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We analyse the effect of failing reinsurance cover on the stability of Dutch insurers. As insurers often reinsure themselves with other (re)insurers, a firm's loss could spread contagiously through the sector. Using a unique and confidential data set on reinsurance exposures, we gain insight into the reinsurance market structure and perform a scenario analysis to measure contagion risks. Considering entities on a standalone basis, we find no evidence of systemic risk in the Netherlands, even if multiple reinsurance companies fail simultaneously. At group level our analysis points to the contagion risk of in-house reinsurance structures, given that such in-house reinsurance parties are generally not higher capitalised than other group members.

Original languageEnglish
Pages (from-to)191-203
Number of pages13
JournalJournal of Financial Stability
Volume7
Issue number4
DOIs
Publication statusPublished - Dec 2011

Keywords

  • Contagion
  • Reinsurance
  • Simulation

Fingerprint

Dive into the research topics of 'An empirical assessment of reinsurance risk'. Together they form a unique fingerprint.

Cite this