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Asymptotics for systemic risk with dependent heavy-tailed losses

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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100  ‎$0‎MAPA20210031878‎$a‎Liu, Jiajun
24510‎$a‎Asymptotics for systemic risk with dependent heavy-tailed losses‎$c‎Jiajun Liu, Yang Yang
520  ‎$a‎Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial turmoils from the insurance and financial industries. We consider the asymptotic behavior of the SR for portfolio losses in the model allowing for heavy-tailed primary losses, which are equipped with a wide type of dependence structure. This risk model provides an ideal framework for addressing both heavy-tailedness and dependence. As some extensions, several simulation experiments are conducted, where an insurance application of the asymptotic characterization to the determination and approximation of related SR capital has been proposed, based on the SR measure.
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20100016923‎$a‎Riesgo sistémico
650 4‎$0‎MAPA20210011108‎$a‎Riesgo
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
7001 ‎$0‎MAPA20130010373‎$a‎Yang, Yang
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 571-605