How resilient is your organisation? From local failures to systemic risk

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By Christos Ellinas, Neil Allan, Neil Cantle | 05 August 2015

According to empirical evidence of reported losses, insurance firms are interconnected in a non-trivial way. As a result, systemic risk is a real possibility and can be viewed as the result of a cascading process. The systemic role of individual firms, both in terms of triggering a cascade or being affected by one, is established based on two novel indices: the Criticality IDX and the Sensitivity IDX, respectively.

This article was published by The Actuarial Foundation and won the 2015 ERM Research Excellence Award in Memory of Hubert Mueller.

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