Bounds for randomly shared risk of heavy-tailed loss factors

DOI10.1007/s10687-016-0248-2zbMath1396.91304arXiv1503.03726OpenAlexW2145707751MaRDI QIDQ347153

Claudia Klüppelberg, Oliver Kley

Publication date: 30 November 2016

Published in: Extremes (Search for Journal in Brave)

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (3)

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

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• Heavy-Tail Phenomena

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