second-order asymptotics of the risk concentration of a portfolio with deflated risks
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2018
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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 n identically distributed but dependent deflated risks Xj=RjS, j=1,2,…,n under the assumptions of second-order regular variation on the survival functions of the risks Rj and the deflator S, where R1,R2,…,Rn are n independent and identically distributed random variables with a common survival function and S is a random variable being independent of R1,R2,…,Rn. Examples are also given to illustrate our main results.
| Reference Key |
chen2018mathematicalsecond-order
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|---|---|
| Authors | ;Yu Chen;Yu Gao;Wenxue Gao;Weiping Zhang |
| Journal | journal of power sources |
| Year | 2018 |
| DOI |
10.1155/2018/4689479
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| URL | |
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