Risk concentration and diversification: second-order properties
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Publication:659264
DOI10.1016/J.INSMATHECO.2010.01.011zbMATH Open1231.91174arXiv0910.2367OpenAlexW1994073992MaRDI QIDQ659264FDOQ659264
Authors: Matthias Degen, Dominik D. Lambrigger, Johan Segers 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a quantifiable reduction of risk concentration a challenging task. In the present paper we discuss some of the issues that may arise. The theory of second-order regular variation and second-order subexponentiality provides the ideal methodological framework to derive second-order approximations for the risk concentration and the diversification benefit.
Full work available at URL: https://arxiv.org/abs/0910.2367
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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)
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Cited In (28)
- Risk measures and multivariate extensions of Breiman's theorem
- Second-order expansions of the risk concentration based on CTE
- Simple risk measure calculations for sums of positive random variables
- Second order regular variation and conditional tail expectation of multiple risks
- Insights to systematic risk and diversification across a joint probability distribution
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- Properties of second-order regular variation and expansions for risk concentration
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- Four theorems and a financial crisis
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
- Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation
- Risk concentration of aggregated dependent risks: the second-order properties
- Asymptotics of the risk concentration based on the tail distortion risk measure
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
- Theoretical sensitivity analysis for quantitative operational risk management
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