Degen, Matthias; Lambrigger, Dominik D.; Segers, Johan - In: Insurance: Mathematics and Economics 46 (2010) 3, pp. 541-546
The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a quantifiable reduction of risk concentration a challenging...
