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Risk in a large claims insurance market with bipartite graph structure

Abstract:

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 structure plays a fundamental role in their asymptotic behaviour. As is well-known in a non-network setting, if the Pareto exponent is larger than 1, then for the individual agent (reinsurance compa...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1287/opre.2016.1502

Authors


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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
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Funding agency for:
Reinert, G
Grant:
EP/K032402/1
More from this funder
Funding agency for:
Reinert, G
Grant:
EP/K032402/1
Publisher:
INFORMS (Institute for Operations Research and Management Sciences) Publisher's website
Journal:
Operations Research Journal website
Volume:
64
Issue:
5
Pages:
1159 - 1176
Publication date:
2016-07-22
Acceptance date:
2016-03-11
DOI:
EISSN:
1526-5463
ISSN:
0030-364X
Source identifiers:
613116
Keywords:
Pubs id:
pubs:613116
UUID:
uuid:6307e312-5d3c-4830-87e9-834a169b994f
Local pid:
pubs:613116
Deposit date:
2016-04-04

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