On asymptotic diversification effects for heavy-tailed risks.

zbMATH Open1334.91002MaRDI QIDQ3564982FDOQ3564982

Georg Mainik

Publication date: 27 May 2010

Full work available at URL: http://www.freidok.uni-freiburg.de/volltexte/7510/

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• The effect of aggregation on extremes from asymptotically independent light-tailed risks

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

Cited In (7)

• First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
• Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
• Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
• Portfolio diversification under local and moderate deviations from power laws
• Relations between the spectral measures and dependence of MEV distributions

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