Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "8040"
#_source: array:26 [
"id" => "8040"
"slug" => "8040-explicit-diversification-benefit-for-dependent-risks"
"yearMonth" => "2015-12"
"year" => "2015"
"title" => "Explicit Diversification Benefit for Dependent Risks"
"description" => "DACOROGNA, M., ELBAHTOURI, L. et KRATZ, M. (2015). <i>Explicit Diversification Benefit for Dependent Risks</i>. ESSEC Business School. 
DACOROGNA, M., ELBAHTOURI, L. et KRATZ, M. (2015). <i>Explicit Diversification Benefit for Dependent "
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DACOROGNA M."
]
2 => array:1 [
"name" => "ELBAHTOURI L."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "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 consequently the associated diversification benefit. The explicit formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models, which are popular in the reinsurance industry, Archimedean survival copulas and heavy tailed marginals. We explore numerically their behavior and compare them to the aggregation of independent random variables, as well as of linearly dependent ones. Moreover, the numerical convergence of Monte Carlo simulations of various quantities is tested against the analytical result. The speed of convergence appears to depend on the fatness of the tail; the higher the tail index, the faster the convergence. We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means "
"en" => "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 consequently the associated diversification benefit. The explicit formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models, which are popular in the reinsurance industry, Archimedean survival copulas and heavy tailed marginals. We explore numerically their behavior and compare them to the aggregation of independent random variables, as well as of linearly dependent ones. Moreover, the numerical convergence of Monte Carlo simulations of various quantities is tested against the analytical result. The speed of convergence appears to depend on the fatness of the tail; the higher the tail index, the faster the convergence. We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-03-21T01:21:42.000Z"
"docTitle" => "Explicit Diversification Benefit for Dependent Risks"
"docSurtitle" => "Working Papers"
"authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, DACOROGNA M., ELBAHTOURI L."
"docDescription" => "<span class="document-property-authors">KRATZ Marie, DACOROGNA M., ELBAHTOURI L.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2015</span> <span class="document-property-authors">KRATZ Marie, DACOROGNA M., ELBAHTOURI L.</span><br><span cla "
"keywordList" => ""
"docPreview" => "<b>Explicit Diversification Benefit for Dependent Risks</b><br><span>2015-12 | Working Papers </span> <b>Explicit Diversification Benefit for Dependent Risks</b><br><span>2015-12 | Working Papers </span "
"docType" => "research"
"publicationLink" => "<a href="#" target="_blank">Explicit Diversification Benefit for Dependent Risks</a>"
]
+lang: "en"
+"_type": "_doc"
+"_score": 9.043577
+"parent": null
}
