Mao, Tiantian; Lv, Wenhua; Hu, Taizhong - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 449-456
The quantification of diversification benefits due to risk aggregation has received more attention in the recent literature. In this paper, we establish second-order expansions of the risk concentration based on the risk measure of conditional tail expectation for a portfolio of n independent...