Conditional risk measures in a bipartite market structure

DOI10.1080/03461238.2017.1350203zbMath1416.91194arXiv1510.00616OpenAlexW2096170829WikidataQ57747857 ScholiaQ57747857MaRDI QIDQ4583596

Claudia Klüppelberg, Oliver Kley, Gesine D. Reinert

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.00616

zbMATH Keywords

value-at-riskPoisson approximationmultivariate regular variationconditional tail expectationbipartite networkconditional risk measuressystemic risk measures

Mathematics Subject Classification ID

Related Items (8)

Bounds for randomly shared risk of heavy-tailed loss factors ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Ruin probabilities for risk processes in a bipartite network ⋮ Tail probabilities of random linear functions of regularly varying random vectors

Cites Work

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• Risk in a Large Claims Insurance Market with Bipartite Graph Structure
• Portfolio diversification and value at risk under thick-tailedness†
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• Heavy-Tail Phenomena

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