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dc.contributor.authorAmini, Hamed
dc.contributor.authorChen, Rui
dc.contributor.authorMinca, Andreea
dc.contributor.authorSulem, Agnès
dc.date.accessioned2020-05-04T13:01:51Z
dc.date.available2020-05-04T13:01:51Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20685
dc.language.isoenen
dc.subjectRandom graphsen
dc.subjectCollective risk theoryen
dc.subjectSystemic risken
dc.subjectDefault contagionen
dc.subjectInterbank networken
dc.subjectInsurance-reinsurance networksen
dc.subjectFinancial stabilityen
dc.subject.ddc519en
dc.titleA dynamic contagion risk model with recovery featuresen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe introduce threshold growth in the classical threshold contagion model, or equivalently a network of Cramér-Lundberg processes in which nodes have downward jumps when there is a failure of a neighboring node. Choosing the configuration model as underlying graph, we prove fluid limits for the baseline model, as well as extensions to the directed case, state-dependent inter-arrival times and the case of growth driven by upward jumps. We obtain explicit ruin probabilities for the nodes according to their characteristics: initial threshold and in-(and out-) degree. We then allow nodes to choose their connectivity by trading off link benefits and contagion risk. We define a rational equilibrium concept in which nodes choose their connectivity according to an expected failure probability of any given link, and then impose condition that the expected failure probability coincides with the actual failure probability under the optimal connectivity. We show existence of an asymptotic equilibrium as well as convergence of the sequence of equilibria on the finite networks. In particular, our results show that systems with higher overall growth may have higher failure probability in equilibrium.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages36en
dc.identifier.urlsitehttps://hal.inria.fr/hal-02421342en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2019-12
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2020-05-04T12:57:56Z
hal.person.labIds455165
hal.person.labIds60
hal.person.labIds72421
hal.person.labIds34587


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