Determining and Allocating Diversification Benefits for a Portfolio of Risks

Weihao Choo and Piet de Jong

ASTIN Bulletin, 2010, vol. 40, issue 1, 257-269

Abstract: A critical problem in financial and insurance risk analysis is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect diversification. How large should the “diversification benefit” be? And how should the benefit be allocated to the individual risks? We propose a simple statistical solution. While providing a theoretical analysis, the final expressions are readily implemented in practice.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:40:y:2010:i:01:p:257-269_00

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().