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q-fin.RM2024
Asymptotics of Systemic Risk in a Renewal Model with Multiple Business Lines and Heterogeneous Claims
Bingzhen Geng, Yang Liu, Hongfu Wan
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional Lévy process-based renewal risk model with heterogeneous in…
q-fin.RM2024
Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
Bingzhen Geng, Yang Liu, Yimiao Zhao
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for…