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Title:

Risk in a large claims insurance market with bipartite graph structure

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
Bipartite graph, diversification, micro- vs. macro-prudential risk, multivariate regular variation, Pareto-tail, re-insurance, risk measures, systemic risk
Dewey Decimal Classification:
510 Mathematik
Journal title:
Operations Research
Year:
2016
Journal volume:
64
Year / month:
2016-07
Quarter:
3. Quartal
Month:
Jul
Journal issue:
5
Pages contribution:
1159-1176
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1287/opre.2016.1502
Notes:
Published Online: 22 Jul 2016
Status:
Erstveröffentlichung
TUM Institution:
Lehrstuhl für Mathematische Statistik
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