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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Klüppelberg, C. and Seifert, M. 
Titel:
Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits 
Abstract:
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents’ and system’s losses follow generalized exponential mixture distributions. We show that this leads to qualitatively different results on individual and system risks compared to heavy-tailed claims previously studied in the literature. By deducing conditional loss distributions we investigate the impact of stress situations o...    »
 
Stichworte:
generalized exponential mixture distribution, individual and system risks, light-tailed claims, portfolio diversification, system regulation 
Zeitschriftentitel:
Preprint 
Jahr:
2016 
Monat:
Dec 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text