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Enterprise Risk Management in Insurance Groups: Measuring Risk Concentration and Default Risk
Company: University of St. Gallen
Year Of Publication: 2007
Month Of Publication: January
Download Count: 368
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-12-2007
Publisher: Administrator
Summary
In financial conglomerates and insurance groups, enterprise risk management isbecoming increasingly important in controlling and managing the different independentlegal entities in the group. The aim of this paper is to assess and relate riskconcentration and joint default probabilities of the group’s legal entities in order toachieve a more comprehensive picture of an insurance group’s risk situation. Wefurther examine the impact of the type of dependence structure on results by comparinglinear and nonlinear dependencies using different copula concepts undercertain distributional assumptions. Our results show that even if financial groupswith different dependence structures do have the same risk concentration factor,joint default probabilities of different sets of subsidiaries can vary tremendousl
Author(s)
Gatzert, Nadine Sign in to follow this author
Schmeiser, Hato Sign in to follow this author
Schuckmann, Stefan Sign in to follow this author
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