英文标题：
《The impact of systemic risk on the diversification benefits of a risk
portfolio》
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作者：
Marc Busse, Michel Dacorogna, Marie Kratz
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最新提交年份：
2013
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英文摘要：
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach could be easily generalized for investment risk. We see that, even with a small probability of occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non-diversifiable term that appears in the analytical expression of the variance of our models. We propose two ways of introducing it and discuss their advantages and limitations. By using both VaR and TVaR to compute the loading, we see that only the latter captures the full effect of systemic risk when its probability to occur is low
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中文摘要：
风险分散是保险和投资的基矗因此，研究可能限制它的影响至关重要。其中之一是系统性风险的存在，它同时影响所有政策。我们在这里介绍了一种概率方法，以检查其存在对保单组合保费风险负荷的影响。这种方法可以很容易地推广到投资风险方面。我们发现，即使发生的概率很小，系统性风险也会显著降低多元化的收益。通过模型方差的解析表达式中出现的不可变项，可以清楚地揭示这一点。我们提出了两种引入它的方法，并讨论了它们的优点和局限性。通过使用VaR和TVaR来计算负荷，我们发现只有后者在系统性风险发生的概率较低时才能充分反映系统性风险的影响
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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