期刊
INSURANCE MATHEMATICS & ECONOMICS
卷 51, 期 2, 页码 449-456出版社
ELSEVIER
DOI: 10.1016/j.insmatheco.2012.07.002
关键词
Asymptotical smoothness; Diversification benefit; Regular variation; Second-order approximation; Second-order regular variation
类别
资金
- NNSF of China [11071232, 70821001, 71090401]
The quantification of diversification benefits due to risk aggregation has received more attention in the recent literature. In this paper, we establish second-order expansions of the risk concentration based on the risk measure of conditional tail expectation for a portfolio of n independent and identically distributed loss random variables. The key tools are the theory of second-order regular variation and the theory of second-order subexponentiality. Some examples are given. (C) 2012 Elsevier B.V. All rights reserved.
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