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Wednesday 10 September 2014, 11:00-12:00
Systemic risk in large claims insurance markets with bipartite graph structure
- đ¤ Speaker: Kley, O (Technische Universitt Mnchen)
- đ Date & Time: Wednesday 10 September 2014, 11:00 - 12:00
- đ Venue: Seminar Room 2, Newton Institute Gatehouse
Abstract
We model a reinsurance market by using a bipartite graph structure. One group of nodes consists of insurance companies while the other one is formed by objects to be insured. The insurers choose to insure objects independently and with prespecified probabilities. In case of a damage the resulting claims are heavy-tailed random variables. Within the framework of regular variation, we specify the extremal dependence structure among the losses of the insurance companies and consider the influence of the market structure on several classical distribution-based risk measures such as Value-at-Risk, Expected Shortfall and conditional and multivariate versions of them. This is work in progress.
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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