Before revision: We model business relationships exemplified for a (re)insurance market by a bipartite graph which determines the sharing of severe losses . Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expectation.
After revision: We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph which determines the sharing of severe losses . Using Pareto-tailed claims and multivariate regular variation we obtain asymptotic results for the Value-at-Risk and the Conditional Tail Expectation.