Insights to systematic risk and diversification across a joint probability distribution

DOI10.1016/J.INSMATHECO.2015.12.007MaRDI QIDQ282287zbMATH OpenOpenAlexFDO

Authors Weihao Choo, Piet de Jong

Publication date 12 May 2016

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.12.007

zbMATH Keywords

value-at-riskdistortion riskdiversificationEuler allocationlayerspectral risksystematic risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Coherent measures of risk
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Comonotonicity, correlation order and premium principles
• Convex order and comonotonic conditional mean risk sharing
• Correlation order, merging and diversification
• Determining and Allocating Diversification Benefits for a Portfolio of Risks
• Empirical properties of asset returns: stylized facts and statistical issues
• Expectation dependence of random variables, with an application in portfolio theory
• Loss reserving using loss aversion functions
• Risk Exchange with Distorted Probabilities
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(5)

• Systemic risk of portfolio diversification
• Systemic risk-driven portfolio selection
• Correlation order, merging and diversification
• Connectedness versus diversification: two sides of the same coin
• Jumps and betas: a new framework for disentangling and estimating systematic risks

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