English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Open

Presents the pdf analysis as premium feature

PDF Analysis

Insights

Presents the summarisation as premium feature

Summarisation

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

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.

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