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Titel:

Risk in a large claims insurance market with bipartite graph structure

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kley, O., Klüppelberg, C., and Reinert G.
Abstract:
We model business relationships exemplified for a (re)insurance market by a bipartite graph which determines the sharing of severe losses. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expectation. We show that the dependence on the network structure plays a fundamental role in their asymptotic behaviour. As is well-known, if the Pareto exponent is larger than 1, then for the individual agent (re-insuranc...     »
Stichworte:
Bipartite graph, diversification, micro- vs. macro-prudential risk, multivariate regular variation, Pareto-tail, re-insurance, risk measures, systemic risk
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Operations Research
Jahr:
2016
Band / Volume:
64
Jahr / Monat:
2016-07
Quartal:
3. Quartal
Monat:
Jul
Heft / Issue:
5
Seitenangaben Beitrag:
1159-1176
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1287/opre.2016.1502
Hinweise:
Published Online: 22 Jul 2016
Status:
Erstveröffentlichung
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
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