We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and...

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include diversification in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits.To...

We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and...

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

In this paper we compare the diversification benefit of portfolios containing excess-of-loss treaties and portfolios containing quota-share treaties, when the risk measure is the (excess) Value-at-Risk or the (excess) Expected Shortfall. In a first section we introduce the set-up under which we...