7 citations · 9 across the 4 of their papers we have counts for
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q-fin.RM2015
Conditional risk measures in a bipartite market structure
Oliver Kley, Claudia Klüppelberg, Gesine Reinert
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the fi…
q-fin.RM2015★ 7 cited
Bounds for randomly shared risk of heavy-tailed loss factors
Oliver Kley, Claudia Kluppelberg
For a risk vector , whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and t…