Centro de Documentación de Fundación MAPFRE - Determining and allocating diversification benefits for a portfolio of risks

MAP20150027009

Determining and allocating diversification benefits for a portfolio of risks / Weihao Choo, Piet de Jong

Sumario: A critical problem in financial and insurance risk analysis is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect diversification. How large should the diversification benefit be? And how should the benefit be allocated to the individual risks? We propose a simple statistical solution. While providing a theoretical analysis, the final expressions are readily implemented in practice.

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 257-269

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