Second-order expansions of the risk concentration based on CTE

Tiantian Mao, Wenhua Lv and Taizhong Hu

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 449-456

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 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.

Keywords: Asymptotical smoothness; Diversification benefit; Regular variation; Second-order approximation; Second-order regular variation (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:449-456

DOI: 10.1016/j.insmatheco.2012.07.002

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