Risk concentration and diversification: Second-order properties
Authors:
- 1 June 2010
- journal article
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 46 (3) , 541-546
Abstract
No abstract availableKeywords
All Related Versions
This publication has 14 references indexed in Scilit:
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examplesExtremes, 2008
- EVT-based estimation of risk capital and convergence of high quantilesAdvances in Applied Probability, 2008
- Nondiversification Traps in Catastrophe Insurance MarketsThe Review of Financial Studies, 2008
- The limits of diversification when losses may be largeJournal of Banking & Finance, 2007
- Asymptotic expansions of convolutions of regularly varying distributionsJournal of the Australian Mathematical Society, 2005
- Coherent Measures of RiskMathematical Finance, 1999
- Second-order regular variation, convolution and the central limit theoremStochastic Processes and their Applications, 1997
- Generalized regular variation of second orderJournal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics, 1996
- Theory prob. appl.Communications in Statistics. Stochastic Models, 1987
- Second order behaviour of the tail of a subordinated probability distributionStochastic Processes and their Applications, 1986