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Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks

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Listed:
  • Yu Chen
  • Yu Gao
  • Wenxue Gao
  • Weiping Zhang

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 identically distributed but dependent deflated risks , under the assumptions of second-order regular variation on the survival functions of the risks and the deflator , where are independent and identically distributed random variables with a common survival function and is a random variable being independent of . Examples are also given to illustrate our main results.

Suggested Citation

  • Yu Chen & Yu Gao & Wenxue Gao & Weiping Zhang, 2018. "Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks," Mathematical Problems in Engineering, Hindawi, vol. 2018, pages 1-12, April.
    • Handle: RePEc:hin:jnlmpe:4689479
    DOI: 10.1155/2018/4689479
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