Risk concentration is used as a measurement of diversification benefits in the context of risk
aggregation. Expectiles, which are known to possess many good properties, have attracted …

This paper provides and extends second-order versions of several fundamental theorems
on first-order regularly varying functions such as Karamata's theorem/representation and …

Sums of randomly weighted subexponential random variables have become an important
research topic, but most works on the topic consider randomly weighted sums of finitely …

The systemic risk measure plays a crucial role in analyzing individual losses conditioned on
extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for …

In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio
based on Value-at-Risk (quantile) under dependence uncertainty, which we refer to as …

In this paper the second order asymptotics of the tail probabilities of randomly weighted
sums and their maxima are established in the case that the underlying primary random …

In this paper, we investigate the optimal portfolio construction aiming at extracting the most
diversification benefit. We employ the diversification ratio based on the Value-at-Risk as the …

In this paper the second order asymptotics for the tail probability of the maxima of randomly
weighted sums is established under the assumption that the underlying primary random …

Consider a discrete-time risk model, in which an insurer makes both risk-free and risky
investments. Within period k, the net loss is denoted by a real-valued random variable X k …

In this paper, we study the complete moment convergence of the sums of ρ̃-mixing
sequences which are double-indexed randomly weighted and stochastically dominated by a …