11 citations · 18 across the 11 of their papers we have counts for
7 papers · 1 filter
Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks
Kerstin Awiszus, Thomas Knispel, Irina Penner +3
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concept…
Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We investigate the asymptotic behavior of the risk premium associated with a linear risk sharing contract in an infinitely expanding risk pool. We consider general preferences repr…
Risk sharing for capital requirements with multidimensional security markets
Felix-Benedikt Liebrich, Gregor Svindland
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogene…
Model Spaces for Risk Measures
Felix-Benedikt Liebrich, Gregor Svindland
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereaft…
Risk-Consistent Conditional Systemic Risk Measures
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures whi…
Which eligible assets are compatible with comonotonic capital requirements?
Pablo Koch-Medina, Cosimo Munari, Gregor Svindland
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We sh…
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the…