Tong, Bin; Wu, Chongfeng; Xu, Weidong - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 139-149
first-order approximation of risk concentration depends on the the interplay between the tail behavior of the marginal loss … 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) in terms of Value at Risk (VaR) within the methodological framework of …