کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077424 | 1374129 | 2010 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk concentration and diversification: Second-order properties
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 3, June 2010, Pages 541-546
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 3, June 2010, Pages 541-546
نویسندگان
Matthias Degen, Dominik D. Lambrigger, Johan Segers,