Tong, Bin; Wu, Chongfeng; Xu, Weidong - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 139-149
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)...