This dissertation contributes to the discussion on the existence and extent of systemic risk in the insurance sector and its regulation. It consists of four self-contained empirical studies. Chapter one contains the introduction and motivation.
The second chapter addresses the question of what characteristics an insurer exhibits such that it contributes to potential financial sector instability. The study analyzes stock losses of U.S. insurers and the U.S. financial market during the financial crisis of 2008, and examines idiosyncratic characteristics proposed by regulators to identify systemically important insurers. It employs three well-known measures of systemic risk in cross-sectional and probit regressions.
Chapter three examines the relation between asset price bubbles and systemic risk among a global sample of insurance companies over a period of almost thirty years.
The fourth chapter focuses on how stock market investors evaluate the presence of systemic risk in the U.S. insurance sector, and whether they price in indicators of systemic risk in insurer stocks. This study employs five different asset pricing models over time periods before, during, and after the financial crisis of 2008.
The fifth chapter analyzes the relation between insurers' capital and their profitability around the world over a nine-year period. Causality between the measures of capital and profitability is established using an instrumental variable approach.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:85855 |
| Date | 08 June 2023 |
| Creators | Mühlnickel, Janina |
| Contributors | Universität Leipzig |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/acceptedVersion, doc-type:doctoralThesis, info:eu-repo/semantics/doctoralThesis, doc-type:Text |
| Rights | info:eu-repo/semantics/openAccess |
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