In this master thesis, we investigate the directional connectedness between insurance companies from USA and Europe over the period 2000 to 2015. We perform a static and dynamic analysis to measure volatility connectedness in the entire period using a framework proposed by Diebold and Yilmaz (2012 and 2014). The findings of this study suggest the following empirical regularities. First, there exists large time-varying volatility connectedness across the insurance companies analysed, fluctuating between 71 \% and 95 \%. Second, during the subprime and financial crises and during the European Sovereign debt crisis, volatility connectedness has reached unprecedented levels. Third, volatility spillovers within each group, USA and Europe, are higher than the trans-Atlantic spillovers. Furthermore, in general, connectedness within USA companies is higher than within the European ones and, spillovers from USA to Europe are higher than the other way round. Finally, the volatility connectedness network shows that companies group together according to their origin and confirm that all the insurance companies in the sample are interrelated but trans-Atlantic connectedness is weaker.