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Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems

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  • Daniel Gaigall
  • Stefan Weber

Abstract

We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. We establish central limit theorems that asymptotically characterize total portfolio losses, providing a theoretical foundation for approximations in large portfolios and over long time horizons. These approximations are validated through simulation-based numerical experiments. Additionally, we analyze the impact of dependence on portfolio loss distributions, with a particular focus on tail behavior.

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  • Daniel Gaigall & Stefan Weber, 2025. "Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems," Papers 2504.06287, arXiv.org.
    • Handle: RePEc:arx:papers:2504.06287
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    References listed on IDEAS

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    1. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
    2. Kallenberg, Olav, 1989. "On the representation theorem for exchangeable arrays," Journal of Multivariate Analysis, Elsevier, vol. 30(1), pages 137-154, July.
    3. Caroline Hillairet & Olivier Lopez, 2021. "Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2021(8), pages 671-694, September.
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    7. Michel Dacorogna & Marie Kratz, 2023. "Managing cyber risk, a science in the making," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2023(10), pages 1000-1021, November.
    8. Caroline Hillairet & Olivier Lopez, 2021. "Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models," Post-Print hal-02564462, HAL.
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    10. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
    11. Hillairet, Caroline & Lopez, Olivier & d'Oultremont, Louise & Spoorenberg, Brieuc, 2022. "Cyber-contagion model with network structure applied to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 88-101.
    12. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
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