7 citations · 9 across the 4 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
q-fin.RM2014★ 1 cited
Risk in a large claims insurance market with bipartite graph structure
Oliver Kley, Claudia Kluppelberg, Gesine Reinert
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 as…
q-fin.RM2014★ 1 cited
Systemic risk through contagion in a core-periphery structured banking network
Oliver Kley, Claudia Klüppelberg, Lukas Reichel
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite…