Risk concentration and diversification: Second-order properties

被引：32
|
作者：
Degen, Matthias [1 ]
Lambrigger, Dominik D. [1 ]
Segers, Johan [2 ]
机构：
[1] ETH, Dept Math, CH-8092 Zurich, Switzerland
[2] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2010年 / 46卷 / 03期
关键词：
Diversification; Second-order regular variation; Second-order subexponentiality; Subadditivity; Value-at-Risk; REGULAR VARIATION; BEHAVIOR; TAIL;
D O I：
10.1016/j.insmatheco.2010.01.011
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2010 Elsevier B.V. All rights reserved.
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页码：541 / 546
页数：6
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