英文标题：
《Risk in a large claims insurance market with bipartite graph structure》
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作者：
Oliver Kley and Claudia Kluppelberg and Gesine Reinert
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最新提交年份：
2015
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英文摘要：
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-at-Risk 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 company) diversification is beneficial, whereas when it is less than 1, concentration on a few objects is the better strategy. An additional aspect of this paper is the amount of uninsured losses which have to be convered by society. In the situation of networks of agents, in our setting diversification is never detrimental concerning the amount of uninsured losses. If the Pareto-tailed claims have finite mean, diversification turns out to be never detrimental, both for society and for individual agents. In contrast, if the Pareto-tailed claims have infinite mean, a conflicting situation may arise between the incentives of individual agents and the interest of some regulator to keep risk for society small. We explain the influence of the network structure on diversification effects in different network scenarios.
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中文摘要：
我们通过一个二部图来模拟分摊巨额外因损失对再保险市场的影响。利用帕累托尾部索赔和多元正则变分，我们得到了风险值和条件尾部期望的渐近结果。我们证明了对网络结构的依赖性在它们的渐近行为中起着重要作用。众所周知，在非网络环境中，如果帕累托指数大于1，那么对于个体代理人（再保险公司）来说，多元化是有益的，而当它小于1时，集中在几个对象上是更好的策略。本文的另一个方面是必须由社会承担的未投保损失的金额。在代理人网络的情况下，在我们的环境中，多样化对于未投保损失的金额从来都不是有害的。如果帕累托尾部索赔具有有限的平均值，那么无论是对社会还是对个体代理人来说，多元化都永远不会有害。相比之下，如果帕累托尾部索赔具有无限均值，那么个体代理人的激励和一些监管机构保持社会风险较小的利益之间可能会出现冲突。我们解释了在不同的网络场景中，网络结构对多元化效应的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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