Second-order asymptotics of the risk concentration of a portfolio with deflated risks
type: Item
instance of: scholarly article
title: Second-order asymptotics of the risk concentration of a portfolio with deflated risks
zbMATH Open document ID: 1427.91252
DOI: 10.1155/2018/4689479
author: Yu Chen
author: Yu Gao
author: Wenxue Gao
author: Weiping Zhang
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: 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 \(n\) identically distributed but dependent deflated risks \(X_j = R_j S\), \(j = 1,2, \ldots, n\) under the assumptions of second-order regular variation on the survival functions of the risks \(R_j\) and the deflator \(S\), where \(R_1, R_2, \ldots, R_n\) are \(n\) independent and identically distributed random variables with a common survival function and \(S\) is a random variable being independent of \(R_1, R_2, \ldots, R_n\). Examples are also given to illustrate our main results.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7019007
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/4689479
OpenAlex ID: W2800525097
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description: scientific article; zbMATH DE number 7019007