Abstract
Measuring Systemic Risks in Insurance - Reinsurance Networks Page 1 Measuring Systemic Risks in Insurance - Reinsurance Networks - Stanford University 2012 - Jose Blanchet and Yixi Shi Department of Industrial Engineering and Operations Research, Columbia University November, 2012 Blanchet & Shi (Columbia) Systemic Risks in Insurance Networks 11/2012 1 / 32 Page 2 Modeling Focus, Framework and Question of Interests Outline 1 Modeling Focus, Framework and Question of Interests Focus of the Talk: Insurance Risk The Model: A High-level Overview Insurance: Basics Modeling Framework Questions of Interest 2 Counter-party Risk and Settlement Mechanism A Stylized Contractual Model Default Settlement Mechanism 3 Qualitative Risk Analysis A Tractable Stylized Risk Factor Model A First Qualitative Analysis The Role of Risk Mitigators 4 Enhancing Qualitative Analysis with Efficient Simulation …
Authors
Jose Blanchet, Yixi Shi
Publication date
2012/11
Journal
Preprint
