Cascading Losses in Reinsurance Networks
Published Online:11 Feb 2020https://doi.org/10.1287/mnsc.2019.3389
References
- (2015) Systemic risk and stability in financial networks. Amer. Econom. Rev. 10(2):564–608.Crossref, Google Scholar
- (2004) Return on equity. Accessed June 2, 2019, http://www.theactuary.com/archive/old-articles/part-5/return-on-equity/.Google Scholar
- AIR Institute’s Certified Catastrophe Modeler Program (2016) Global modeled catastrophe losses. AIR Worldwide. Accessed June 2, 2019, http://airww.co/GlobalEP16.Google Scholar
- (1999) Insurance spirals and the London market. Geneva Papers Risk Insurance 24(2):228–242.Crossref, Google Scholar
- (2020) Impact of contingent payments on systemic risk in financial networks. Math. Financial Econom. Forthcoming.Google Scholar
- (2018) Dynamic clearing and contagion in financial networks. Working paper, Washington University in St. Louis, St. Louis, MO.Google Scholar
- (1991) The contraction principle as a particular case of Kleene’s fixed point theorem. Discrete Math. 98:75–79.Crossref, Google Scholar
- (2013) Abstract Dynamic Programming (Athena Scientific, Belmont, MA).Google Scholar
- (2015) Stochastic risk networks: Modeling, analysis and efficient Monte Carlo. Working paper, Columbia University, New York.Google Scholar
- (2015) Systemic risk mitigation in financial networks. J. Econom. Dynam. Control 58:152–166.Crossref, Google Scholar
- (2014) Interbank tiering and money center banks. J. Financial Intermediation 23(3):322–347.Crossref, Google Scholar
- (2001) Systemic risk in financial systems. Management Sci. 47(2):236–249.Link, Google Scholar
- (2014) Financial networks and contagion. Amer. Econom. Rev. 104(10):3115–3153.Crossref, Google Scholar
- (2017) Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. Working paper, Washington University in St. Louis, St. Louis, MO.Google Scholar
- (2016) Risk in a large claims insurance market with bipartite graph structure. Oper. Res. 64(5):1159–1176.Link, Google Scholar
- (2019) Interbank clearing in financial networks with multiple maturities. SIAM J. Financial Math. 10(1):37–67.Crossref, Google Scholar
- NAIC (2018) Reinsurance data. Accessed June 2, 2019, http://www.naic.org/prod_serv_idp_reinsurance.htm.Google Scholar
- (2013) Failure and rescue in an interbank network. Management Sci. 59(4):882–898.Link, Google Scholar
- (2006) Reinsurance arbitration–a primer. Accessed June 2, 2019, https://www.irmi.com/articles/expert-commentary/reinsurance-arbitration-a-primer.Google Scholar
- (2016) Clearing payments in financial networks with credit default swaps. Proc. 2016 ACM Conf. Econom. Computation (ACM, New York), 759.Google Scholar
- (2019) Default ambiguity: Credit default swaps create new systemic risks in financial networks. Management Sci., ePub ahead of print June 26, https://doi.org/10.1287/mnsc.2019.3304.Google Scholar

