Systemic Risk in the Global Reinsurance Ecosystem: A DCC-GARCH, ΔCoVaR and Network Analysis of Listed Reinsurers and Reinsurance-Related Insurance Groups.

This thesis studies systemic risk in the global reinsurance ecosystem, focusing on listed global reinsurers and large integrated insurance groups with relevant reinsurance activities. Although reinsurance is designed to spread and diversify risk, retrocession chains, common underwriting exposures, correlated investment portfolios and stress-period co-movements may create channels of systemic interdependence. Using daily equity returns for 20 listed insurance and reinsurance groups over the period 2010–2024, the thesis combines a DCC-GARCH model with a ΔCoVaR framework to measure time-varying interconnectedness, systemic contribution and systemic vulnerability. A complementary correlation-based network analysis is then used to examine the structural position of each institution through centrality measures, community detection and the Minimum Spanning Tree. The results are interpreted as market-based indicators of statistical interdependence rather than as evidence of direct contractual exposures or causal contagion.