Risk Concentration and Diversification: Second-Order Properties
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References listed on IDEAS
- Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Rustam Ibragimov & Dwight Jaffee & Johan Walden, 2009. "Nondiversification Traps in Catastrophe Insurance Markets," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 959-993, March.
- Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
- Barbe, Philippe & Fougères, Anne-Laure & Genest, Christian, 2006. "On the Tail Behavior of Sums of Dependent Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(02), pages 361-373, November.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-17 (All new papers)
- NEP-REG-2009-10-17 (Regulation)
- NEP-RMG-2009-10-17 (Risk Management)
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