Conditional risk measures in a bipartite market structure

DOI10.1080/03461238.2017.1350203zbMATH Open1416.91194arXiv1510.00616OpenAlexW2096170829WikidataQ57747857 ScholiaQ57747857MaRDI QIDQ4583596FDOQ4583596

Authors: Oliver Kley, Claudia Klüppelberg, Gesine Reinert 

Publication date: 31 August 2018

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

Abstract: In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation we obtain asymptotic results for systemic conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on the systemic or market risk and vice versa through a collection of conditional systemic risk measures. For large markets Poisson approximations of the relevant constants are provided in the example of an insurance market. The example of an underlying homogeneous random graph is analysed in detail, and the results are illustrated through simulations.

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

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zbMATH Keywords

value-at-riskPoisson approximationmultivariate regular variationbipartite networkconditional tail expectationconditional risk measuressystemic risk measures

Mathematics Subject Classification ID

Applications of graph theory (05C90) Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70) Deterministic network models in operations research (90B10)

Cites Work

• Heavy-Tail Phenomena
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• Risk-consistent conditional systemic risk measures
• Systemic risk measures on general measurable spaces
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• Bounds for randomly shared risk of heavy-tailed loss factors
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Cited In (10)

• Risk in a large claims insurance market with bipartite graph structure
• Conditional excess risk measures and multivariate regular variation
• Asymptotic results on tail moment for light-tailed risks
• Ruin probabilities for risk processes in a bipartite network
• Asymptotic results on marginal expected shortfalls for dependent risks
• Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
• Asymptotic results on tail moment and tail central moment for dependent risks
• Bounds for randomly shared risk of heavy-tailed loss factors
• On bivariate risk premia
• Tail probabilities of random linear functions of regularly varying random vectors

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