Journal article
Conditional risk measures in a bipartite market structure
- 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)insurance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation, we obtain asymptotic results for 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...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted Manuscript
Actions
Access Document
- Files:
-
-
(pdf, 3.5MB)
-
- Publisher copy:
- 10.1080/03461238.2017.1350203
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Funding
Bibliographic Details
- Publisher:
- Taylor & Francis Publisher's website
- Journal:
- Scandinavian Actuarial Journal Journal website
- Volume:
- 2018
- Issue:
- 4
- Pages:
- 328-355
- Publication date:
- 2017-07-13
- Acceptance date:
- 2017-06-30
- DOI:
- EISSN:
-
1651-2030
- ISSN:
-
0346-1238
- Pubs id:
-
pubs:703087
- URN:
-
uri:029afc8a-f58c-469e-85e1-879347635379
- UUID:
-
uuid:029afc8a-f58c-469e-85e1-879347635379
- Local pid:
- pubs:703087
Item Description
Terms of use
- Copyright holder:
- Informa UK Limited, trading as Taylor & Francis Group
- Copyright date:
- 2017
- Notes:
-
Copyright © 2017 Informa UK Limited, trading as Taylor & Francis Group. This is the accepted manuscript version of the article. The final version is available online from Taylor & Francis at: https://doi.org/10.1080/03461238.2017.1350203
If you are the owner of this record, you can report an update to it here: Report update to this record