Insurance risk analysis of financial networks vulnerable to a shock

Qihe Tang, Zhiwei Tong,Li Xun

European Journal of Operational Research(2022)

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摘要
•Construct a network composed of financial firms, primitive assets, and an insurer.•Analyze the insurance risk of selling protection to a network of financial firms.•Both the firms and insurer follow the mean-variance framework.•The network integration and shock play an intertwined role in the insurance risk.•Apply matrix techniques based on Farkas’ lemma to facilitate the analysis.
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关键词
Risk analysis,Non-core insurance,Shock,Network integration,Farkas’ lemma
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