Title
Modeling credit risk and system risk in the non-life insurance sector
Code
GJ20-25660Y
Summary
The assessment of systemic risk at financial markets by credit risk models and networks is a flourishing research topic. Such modeling framework has been proposed to measure contagion risk in the global non-life insurance market only recently. The peculiarities of this sector require a specific network configuration and a suitable credit risk model to measure the default risk of insurers. Concerning the credit risk model, it has to be computationally efficient and it has to
provide a good estimate of credit quality of insurers. Concerning the reinsurance network configuration, the main issue is the lack of information on the bilateral reinsurance claims. The current project aims to develop a new modeling framework to conduct analysis that provide policy indications aimed at minimizing the contagion risk in the global non-life insurance market. The goal is achieved by developing an ad-hoc network estimation technique that uses available market data to reconstruct the reinsurance network and by identifying a suitable credit risk model to simulate the default of insurers.
Start year
2020
End year
2022
Provider
Grantová agentura ČR
Category
Obecná forma
Type
Juniorské granty (GJ)
Solver
Information system of research, development and innovation (in Czech)