Essec\Faculty\Model\Contribution {#6196`
#_index: "academ_contributions"
#_id: "1177"
#_source: array:26 [``
"id" => "1177"
"slug" => "explicit-diversification-benefit-for-dependent-risks"
"yearMonth" => "2016-04"
"year" => "2016"
"title" => "Explicit Diversification Benefit for Dependent Risks"
"description" => "DACOROGNA, M., ELBAHTOURI, L. et KRATZ, M. (2016). Explicit Diversification Benefit for Dependent Risks. <i>SCOR</i>."
"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" => array:13 [`
0 => "Aggregation of risks"
1 => "Archimedean copula"
2 => "Clayton"
3 => "Diversification (benefit)"
4 => "Gaussian"
5 => "Gumbel"
6 => "Heavy tail"
7 => "Mixing technique"
8 => "Pareto"
9 => "Risk measure"
10 => "TVaR"
11 => "VaR"
12 => "Weibull"
`]
"updatedAt" => "2021-07-13 14:30:15"
"publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716093"
"publicationInfo" => array:3 [`
"pages" => null
"volume" => null
"number" => null
`]
"type" => array:2 [`
"fr" => "Articles"
"en" => "Journal articles"
`]
"support_type" => array:2 [`
"fr" => "Revue professionnelle"
"en" => "Professional journal"
`]
"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."
"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."
`]
"authors_fields" => array:2 [`
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
`]
"indexedAt" => "2024-02-28T15:21:47.000Z"
"docTitle" => "Explicit Diversification Benefit for Dependent Risks"
"docSurtitle" => "Articles"
"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">Systèmes d’Information, Sciences de la Décision et Statistiques</span> | <span class="document-property-year">2016</span>"
"keywordList" => "<a href="#">Aggregation of risks</a>, <a href="#">Archimedean copula</a>, <a href="#">Clayton</a>, <a href="#">Diversification (benefit)</a>, <a href="#">Gaussian</a>, <a href="#">Gumbel</a>, <a href="#">Heavy tail</a>, <a href="#">Mixing technique</a>, <a href="#">Pareto</a>, <a href="#">Risk measure</a>, <a href="#">TVaR</a>, <a href="#">VaR</a>, <a href="#">Weibull</a>"
"docPreview" => "<b>Explicit Diversification Benefit for Dependent Risks</b><br><span>2016-04 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716093" target="_blank">Explicit Diversification Benefit for Dependent Risks</a>"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.61403
+"parent": null
}