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Document type:
Zeitschriftenaufsatz 
Author(s):
Kley, O. and Klüppelberg, C. 
Title:
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...    »
 
Keywords:
multivariate regular variation, individual and systemic risk, Pareto tail, risk measure, bounds for aggregated risk, random risk sharing 
Journal title:
Extremes 
Year:
2016 
Journal volume:
19 
Year / month:
2016-12 
Quarter:
4. Quartal 
Month:
Dec 
Journal issue:
Pages contribution:
719–733 
Reviewed:
ja 
WWW:
Publisher:
Springer US 
Print-ISSN:
1386-1999 
Notes:
First Online: 02 April 2016 
Status:
Verlagsversion / published 
Semester:
WS 16-17 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text