英文标题：
《Conditional loss probabilities for systems of economic agents sharing
  light-tailed claims with analysis of portfolio diversification benefits》
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作者：
Claudia Kl\\\"uppelberg, Miriam Isabel Seifert
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最新提交年份：
2016
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英文摘要：
  We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents\' and system\'s losses follow generalized exponential mixture distributions. We show that this leads to qualitatively different results on individual and system risks compared to heavy-tailed claims previously studied in the literature. By deducing conditional loss distributions we investigate the impact of stress situations on agents\' and system\'s losses. Moreover, we present a criterion for agents to decide whether holding few objects or portfolio diversification minimizes their risks in system crisis situations.
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中文摘要：
我们分析了代理人分享不同金融对象发行的轻尾风险债权的系统。假设索赔呈指数分布，我们得到代理和系统的损失均服从广义指数混合分布。我们表明，与文献中先前研究的重尾索赔相比，这导致了对个人和系统风险的定性不同的结果。通过推导条件损失分布，我们研究了压力状况对代理和系统损失的影响。此外，我们还为代理人提供了一个标准，以决定在系统危机情况下，持有少量对象还是投资组合多样化可以最大限度地降低其风险。
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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：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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