Article ID Journal Published Year Pages File Type
5077086 Insurance: Mathematics and Economics 2012 11 Pages PDF
Abstract
► We establish second-order approximation of risk concentration quantified with Value at Risk. ► We find that the rate of convergence depends on the interplay of margins and their dependence structure. ► Asymptotically either the dependence dominated case or margin dominated case may occur.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Risk concentration of aggregated dependent risks: The second-order properties
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