Essays on risk management and systemic risk in insurance

摘要

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.