Worst VaR scenarios: A remark Laeven, Roger J.A.

User activity

Share to:
View the summary of this work
Laeven, Roger J.A.
Appears In
Insurance: Mathematics & Economics
Insurance; Mathematics; Business
To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.insmatheco.2008.10.006 Byline: Roger J.A. Laeven Abstract: Theorem 15 of Embrechts et al. [Embrechts, Paul, Hoing, Andrea, Puccetti, Giovanni, 2005. Worst VaR scenarios. Insurance: Math. Econom. 37, 115-134] proves that comonotonicity gives rise to the on-average-most-adverse Value-at-Risk scenario for a function of dependent risks, when the marginal distributions are known but the dependence structure between the risks is unknown. This note extends this result to the case where, rather than no information, partial information is available on the dependence structure between the risks. A result of Kaas et al. [Kaas, Rob, Dhaene, Jan, Goovaerts, Marc J., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econom. 23, 151-168] is also generalized for this purpose. Author Affiliation: Tilburg University and CentER, Department of Econometrics and Operations Research, P.O. Box 90153, 5000 LE Tilburg, The Netherlands Article History: Received 15 December 2005; Revised 24 October 2008; Accepted 24 October 2008
Work ID

2 editions of this work

Find a specific edition
Thumbnail [View as table] [View as grid] Title, Author, Edition Date Language Format Libraries

User activity

e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this work

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this work

Add a comment

Show comments and reviews from Amazon users