Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model (Q2682972)

The paper suggests a dynamic systemic risk measure based on a multi-dimensional renewal risk model to describe the instant expected shortfall of an insurer within a crisis context. After presenting the basic notions and necessary tools to develop the mathematical model, asymptotic results for dynamic systemic risk measure are obtained under both the asymptotic independence and asymptotic dependence cases. Proofs of the main results are appropriately divided into specific sections.