Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks

Yu Chen, Yu Gao, Wenxue Gao and Weiping Zhang

Mathematical Problems in Engineering, 2018, vol. 2018, 1-12

Abstract:

The quantification of diversification benefits due to risk aggregation has received more attention in the recent literature. In this paper, we establish second-order asymptotics of the risk concentration based on several risk measures for a portfolio of identically distributed but dependent deflated risks , under the assumptions of second-order regular variation on the survival functions of the risks and the deflator , where are independent and identically distributed random variables with a common survival function and is a random variable being independent of . Examples are also given to illustrate our main results.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:4689479

DOI: 10.1155/2018/4689479

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