Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital...

This paper extends the Conditional Value-at-Risk approach of Adrian and Brunnermeier (2011) by allowing systemic risk structures subject to economic regime shifts, which are governed by a discrete, latent Markov process. This proposed Markov-Switching Conditional Value-at-Risk is more suitable...