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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kley, O. and Klüppelberg, C. 
Titel:
Bounds for randomly shared risk of heavy-tailed loss factors 
Abstract:
For a risk vector V , whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the agents’ exposure risk and the systemic risk in the market. Risk is measured by Value-at-Risk or Conditional Tail Expectation. We assume Pareto tails for the components of V and arbitrary dependence structure in a multivariate regular variation setting. Upper and lower bounds are given by asymptotic independent and fully dependent components of V in depend...    »
 
Stichworte:
multivariate regular variation, individual and systemic risk, Pareto tail, risk measure, bounds for aggregated risk, random risk sharing 
Zeitschriftentitel:
Extremes 
Jahr:
2016 
Band / Volume:
19 
Heft / Issue:
Seitenangaben Beitrag:
719–733 
Reviewed:
ja 
Verlag / Institution:
Springer US 
Print-ISSN:
1386-1999 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text