Risk concentration and diversification: second-order properties
From MaRDI portal
Publication:659264
DOI10.1016/J.INSMATHECO.2010.01.011zbMath1231.91174arXiv0910.2367OpenAlexW1994073992MaRDI QIDQ659264
Johan Segers, Dominik D. Lambrigger, Matthias Degen
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.2367
value-at-riskdiversificationsubadditivitysecond-order regular variationsecond-order subexponentiality
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Related Items (26)
Diversification limit of quantiles under dependence uncertainty ⋮ Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Tail distortion risk measure for portfolio with multivariate regularly variation ⋮ Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation ⋮ Asymptotic analysis of portfolio diversification ⋮ Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model ⋮ THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ Risk concentration of aggregated dependent risks: the second-order properties ⋮ Risk concentration under second order regular variation ⋮ Asymptotics of the risk concentration based on the tail distortion risk measure ⋮ Closure properties of the second-order regular variation under convolutions ⋮ Second-order properties of risk concentrations without the condition of asymptotic smoothness ⋮ Second-order expansions of the risk concentration based on CTE ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Second order regular variation and conditional tail expectation of multiple risks ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Risk concentration based on expectiles for extreme risks under FGM copula ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION ⋮ THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails ⋮ On beta-product convolutions ⋮ Four theorems and a financial crisis
Cites Work
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Second order behaviour of the tail of a subordinated probability distribution
- Second-order regular variation, convolution and the central limit theorem
- Coherent Measures of Risk
- EVT-based estimation of risk capital and convergence of high quantiles
- On the Tail Behavior of Sums of Dependent Risks
- Theory prob. appl.
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
- Asymptotic expansions of convolutions of regularly varying distributions
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Risk concentration and diversification: second-order properties
