User: Guest  Login
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 depende...    »
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:
4
Pages contribution:
719–733
Reviewed:
ja
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
 BibTeX