Risk in a large claims insurance market with bipartite graph structure
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-atRisk and the Conditional Tail Expectation. We show that the dependence on the network s...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
INFORMS (Institute for Operations Research and Management Sciences)
2016
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