A0392
Title: Systemic risk in the European insurance sector
Authors: Giovanni Bonaccolto - University of Enna Kore (Italy) [presenting]
Nicola Borri - LUISS University (Italy)
Andrea Consiglio - University of Palermo (Italy)
Giorgio Di Giorgio - LUISS University (Italy)
Abstract: The dynamic interdependencies are investigated between the European insurance sector and key financial markets-equity, bond, and banking-by extending the generalized forecast error variance decomposition framework to a broad set of performance and risk indicators. The empirical analysis, based on a comprehensive dataset spanning January 2000 to October 2024, shows that the insurance market is not a passive receiver of external shocks but an active contributor in the propagation of systemic risk, particularly during periods of financial stress such as the subprime crisis, the European sovereign debt crisis, and the COVID-19 pandemic. Significant heterogeneity is observed across subsectors, with diversified multiline insurers and reinsurance playing key roles in shock transmission. Moreover, the granular company-level analysis reveals clusters of systemically central insurance companies, underscoring the presence of a core group that consistently exhibits high interconnectivity and influence in risk propagation.
