Determining and Allocating Diversification Benefits for a Portfolio of Risks

DOI10.2143/AST.40.1.2049228MaRDI QIDQ3569714zbMATHOpenAlexFDO

Authors Weihao Choo, Piet de Jong

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.40.1.2049228

zbMATH Keywords

diversificationallocated risk marginscapital allocation Euler allocation percentile risk aversionstand-alone risk margins

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Risk and utility in portfolio optimization
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Estimating allocations for value-at-risk portfolio optimization
• Risk Measures for Portfolio Vectors and Allocation of Risks
• On optimal portfolio diversification with respect to extreme risks
• Diversification of aggregate dependent risks
• Distribution assumptions and risk constraints in portfolio optimization
• Comparison of various risk measures for an optimal portfolio
• On optimal allocation of risk vectors

Cites work

• scientific article; zbMATH DE number 3127873 (Why is no real title available?)
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Decision theoretic foundations of credibility theory
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• Risk capital allocation and cooperative pricing of insurance liabilities.
• The Dual Theory of Choice under Risk
• Weighted premium calculation principles
• Weighted risk capital allocations

Cited in

(3)

• Balancing an insurance portfolio by class of business
• Insights to systematic risk and diversification across a joint probability distribution
• A form of multivariate Pareto distribution with applications to financial risk measurement

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