Risk in a Large Claims Insurance Market with Bipartite Graph Structure

DOI10.1287/opre.2016.1502zbMath1378.91100arXiv1410.8671OpenAlexW2184305381WikidataQ57747866 ScholiaQ57747866MaRDI QIDQ3178764

Oliver Kley, Claudia Klüppelberg, Gesine D. Reinert

Publication date: 20 December 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.8671

zbMATH Keywords

bipartite graphmarket riskrisk measuresdiversificationreinsurancemultivariate regular variationmicro- vs. macro-prudential riskPareto-tail

Mathematics Subject Classification ID

Related Items (14)

Insurance risk analysis of financial networks vulnerable to a shock ⋮ Preface to the Special Issue on Systemic Risk: Models and Mechanisms ⋮ Risk in a Large Claims Insurance Market with Bipartite Graph Structure ⋮ Bounds for randomly shared risk of heavy-tailed loss factors ⋮ A Dynamic Contagion Risk Model with Recovery Features ⋮ Conditional risk measures in a bipartite market structure ⋮ Optimal connectivity for a large financial network ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Estimation of risk contributions with MCMC ⋮ Ruin probabilities for risk processes in a bipartite network ⋮ Tail probabilities of random linear functions of regularly varying random vectors ⋮ Suffocating Fire Sales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk-consistent conditional systemic risk measures
• Systemic risk measures on general measurable spaces
• Bounds for randomly shared risk of heavy-tailed loss factors
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• On optimal portfolio diversification with respect to extreme risks
• Dependence structure of risk factors and diversification effects
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Regular variation of GARCH processes.
• Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
• Pareto Lévy Measures and Multivariate Regular Variation
• Systemic Risk in Financial Systems
• Inhomogeneous Financial Networks and Contagious Links
• Risk in a Large Claims Insurance Market with Bipartite Graph Structure
• Contagion in financial networks
• Portfolio diversification and value at risk under thick-tailedness†
• Ruin estimation in multivariate models with Clayton dependence structure
• On regular variation for infinitely divisible random vectors and additive processes

This page was built for publication: Risk in a Large Claims Insurance Market with Bipartite Graph Structure