Risk concentration and diversification

Second-order properties
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Author
Degen, Matthias
Lambrigger, Dominik D.
Segers, Johan
Date
2010-06
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Insurance. Mathematics & economics
Volume
46(3)
Pages / Article No.
541 - 546
Publisher
Elsevier
Subject
Diversification; Second-order regular variation; Second-order subexponentiality; Subadditivity; Value-at-Risk
Organisational unit
03288 - Embrechts, Paul (emeritus)  
Notes
Received 7 October 2009, Revised 18 December 2009, Accepted 29 January 2010, Available online 8 February 2010.
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Citations
Cited 22 times in Web of Science
ETH Bibliography
yes
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