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PRODID:https://murmitoyen.com/events/vanille/udem/
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DTSTAMP:20260412T075049
DTSTART:20170824T153000
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URL:https://murmitoyen.com/events/vanille/udem/detail/780349-risk-and-condi
 tional-risk-measures-in-an-agent-object-insurance-market
LOCATION:Université de Montréal - Pavillon André-Aisenstadt\, 2920\, che
 min de la Tour\, Montréal\, QC\, Canada\, H3T 1N8
SUMMARY:Risk and conditional risk measures in an agent-object insurance mar
 ket
DESCRIPTION:We introduce a random network model for business relationships 
 exemplified for a re-insurance market. Using Pareto-tailed losses (as are 
 observed for natural or man-made catastrophes) with a dependence structure
  introduced by the graph we study systemic risk measures\, which are based
  on the Value-at-Risk and the Expected Shortfall. We show that the depende
 nce on the network structure plays a fundamental role for the individual a
 gent’s risk as well as for the systemic risk. If the Pareto exponent is 
 larger than 1\, then for the individual agent diversification is beneficia
 l\, whereas when it is less than one\, concentration on a few objects is t
 he better strategy for individual agents. The situation changes\, however\
 , when systemic risk comes into play. We describe different network scenar
 ios including a homogeneous model and a Rasch-type model\, and explain the
  influence of the network structure on diversification in such models. Thi
 s is joint work with Oliver Kley and Gesine Reinert and the first paper re
 ceived the Lloyd’s Science of Risk Price in 2016. 
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