Extremes for a general contagion risk measure-Reference-Cited by-同舟云学术

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Extremes for a general contagion risk measure

Published:2022-01-10 Issue:2 Volume:12 Page:579-605
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Ling Chengxiu,Liu Jiajun^ORCID

Funder

Xi’an Jiaotong-Liverpool University Research Fund Project

Xi’an Jiaotong-Liverpool University Key programme Special Fund

Xi’an Jiaotong-Liverpool University Postgraduate Research Scholarship (PGRS) Fund

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s13385-021-00301-1.pdf

Reference29 articles.

1. Acharya VV, Pedersen LH, Philippon T, Richardson M (2017) Measuring systemic risk. Rev Fin Stud 30(1):2–47

2. Adrian T, Brunnermeier MK (2016) CoVaR. Am Econ Rev 106(7):1705–1741

3. Asimit AV, Badescu AL (2010) Extremes on the discounted aggregate claims in a time dependent risk model. Scand Act J 2010(2):93–104

4. Asimit AV, Jones BL (2008) Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. ASTIN Bull 38(1):147–159

5. Asimit A, Li J (2018a) Measuring the tail risk: an asymptotic approach. J Math Anal Appl 463(1):176–197

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asymptotic Estimates for Systemic Risk with Dependent Heavy-Tailed Losses;2023

2. Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model;Insurance: Mathematics and Economics;2022-11

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