Bounds for randomly shared risk of heavy-tailed loss factors

DOI10.1007/S10687-016-0248-2zbMATH Open1396.91304arXiv1503.03726OpenAlexW2145707751MaRDI QIDQ347153FDOQ347153

Claudia Klüppelberg, Oliver Kley

Publication date: 30 November 2016

Published in: Extremes (Search for Journal in Brave)

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 individual agents' exposure risk and the aggregated 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 asymptotically independent and fully dependent components of $V$ with respect to the tail index $alpha$ being smaller or larger than 1. Counterexamples, where for non-linear aggregation functions no bounds are available, complete the picture.

Full work available at URL: https://arxiv.org/abs/1503.03726

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zbMATH Keywords

risk measuremultivariate regular variationbounds for aggregated riskindividual and systemic riskPareto tailrandom risk sharing

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70)

Cites Work

• Statistics of Extremes
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Cited In (3)

• ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES
• Risk in a Large Claims Insurance Market with Bipartite Graph Structure
• Conditional risk measures in a bipartite market structure

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