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Risk concentration and diversification: Second-order properties
Company: Insurance: Mathematics and Economics
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: June
Resource Link: Click here to open
Pages: 541-546
Download Count: 0
View Count: 2296
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-8-2010
Publisher: Administrator
The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today’s risk landscape makes a quantifiable reduction of risk concentration a challenging task. In the present paper we discuss some of the issues that may arise. The theory of second-order regular variation and second-order subexponentiality provides the ideal methodological framework to derive second-order approximations for the risk concentration and the diversification benefit.
(volume 46, number 3
Degen, Matthias Sign in to follow this author
Lambrigger, Dominik Sign in to follow this author
Segers, Johan Sign in to follow this author
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