A Study on the Dynamic Correlation of Systemic Risk in Listed Insurance Companies in China —Based on the DCC-GARCH Model

Abstract

This paper selects daily market capitalization, daily return, and quarterly liability data from January 4, 2012, to March 31, 2025, for four Chinese insurance companies and an insurance-themed index. It employs the DCC-GARCH model to measure and rank their risk correlations and illustrates the impact of market risk contagion and volatility. It analyzes differences in capital adequacy among the companies using indicators such as SRISK and leverage ratios; compares ΔCoVaR values to assess the risk spillover effects of each company on the market during extreme downturns. The results indicate that systemic risks among listed insurance companies in China exhibit significant dynamic correlations and exert substantial impacts on capital adequacy during market turmoil. Ping An Insurance has the highest contribution to systemic risk, while Xin Hua Insurance exhibits relatively smaller risk spillover effects.