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SUMMARY:Systemic risk in large claims insurance markets with bipartite gra
 ph structure - Kley\, O (Technische Universitt Mnchen)
DTSTART:20140910T100000Z
DTEND:20140910T110000Z
UID:TALK54159@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We model a reinsurance market by using a bipartite graph struc
 ture. One group of nodes consists of insurance companies while the other o
 ne is formed by objects to be insured. The insurers choose to insure objec
 ts independently and with prespecified probabilities. In case of a damage 
 the resulting claims are heavy-tailed random variables. Within the framewo
 rk of regular variation\, we specify the extremal dependence structure amo
 ng the losses of the insurance companies and consider the influence of the
  market structure on several classical distribution-based risk measures su
 ch as Value-at-Risk\, Expected Shortfall and conditional and multivariate 
 versions of them. This is work in progress.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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