Owing to fluctuations in the financial markets from time to time, the rate [lambda] of Poisson process and jump sequence {Vi} in the Merton's normal jump-diffusion model cannot be expected in a precise sense. Therefore, the fuzzy set theory proposed by Zadeh [Zadeh, L.A., 1965. Fuzzy sets....

Under the current regulatory guidelines for banks and insurance companies, the quantification of diversification benefits due to risk aggregation plays a prominent role. In this paper we establish second-order approximation of risk concentration associated with a random vector X:=(X1,X2,…,Xd)...