Worst VaR scenarios with given marginals and measures of association

被引：34

作者：

Kaas, Rob ^{[3
]}

Laeven, Roger J. A. ^{[1
,2
]}

Nelsen, Roger B. ^{[4
]}

机构：

[1] Tilburg Univ, NL-5000 LE Tilburg, Netherlands

[2] CentER, Dept Econometr & Operat Res, NL-5000 LE Tilburg, Netherlands

[3] Univ Amsterdam, Dept Quantitat Econ, NL-1018 WB Amsterdam, Netherlands

[4] Lewis & Clark Coll, Dept Math Sci, Portland, OR 97219 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 44卷 / 02期

关键词：

Value-at-Risk; Tail-Value-at-Risk; Worst case scenarios; Copulas; Measures of association; Dependence properties; BIVARIATE DISTRIBUTION-FUNCTIONS; BEST-POSSIBLE BOUNDS; DEPENDENT RISKS; COMONOTONICITY; SUMS; SETS;

D O I：

10.1016/j.insmatheco.2008.12.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is available. The same problem for the Tail-Value-at-Risk is also briefly discussed. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：146 / 158

页数：13

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