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dc.contributor.authorChang, Carolyn W.en_US
dc.contributor.authorLi, Xiaodanen_US
dc.contributor.authorLin, Edward M. H.en_US
dc.contributor.authorYu, Min-Tehen_US
dc.date.accessioned2018-08-21T05:53:34Z-
dc.date.available2018-08-21T05:53:34Z-
dc.date.issued2018-05-01en_US
dc.identifier.issn1059-0560en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.iref.2017.07.014en_US
dc.identifier.urihttp://hdl.handle.net/11536/144873-
dc.description.abstractWe employ three measures- marginal expected shortfall, SRISK index, and Conditional Value-at-Risk- to assess an insurer's exposure and contribution to systemic risk during the period 2005-2015. We then examine the primary factors posing the systemic risk and find that both non-core activities and interconnectedness of insurers are the significant and primary drivers. Our results differ from the findings in the U.S. insurance sector where firm size is the primary driver of insurers' exposure and contribution to systemic risk, as the findings in the global insurance sector where leverage is a significant driver of insurers' exposure, and both leverage and non-core activities are primary drivers of insurers' contribution to systemic risk. Our results further indicate that the size and significance of the interconnectedness effect on systemic risk increase as the share of insurance sector within the financial industry rises.en_US
dc.language.isoen_USen_US
dc.subjectSystemic risken_US
dc.subjectInsureren_US
dc.subjectCapital shortfallen_US
dc.subjectMES (marginal expected shortfall)en_US
dc.subjectSRISK index (systemic risk index)en_US
dc.subjectCoVaR (conditional Value-at-Risk)en_US
dc.titleSystemic risk, interconnectedness, and non-core activities in Taiwan insurance industryen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.iref.2017.07.014en_US
dc.identifier.journalINTERNATIONAL REVIEW OF ECONOMICS & FINANCEen_US
dc.citation.volume55en_US
dc.citation.spage273en_US
dc.citation.epage284en_US
dc.contributor.department交大名義發表zh_TW
dc.contributor.departmentNational Chiao Tung Universityen_US
dc.identifier.wosnumberWOS:000430520000019en_US
Appears in Collections:Articles