2009-04-01, English, Article, Journal or magazine article edition: Worst VaR scenarios: A remark. Laeven, Roger J.A.

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2009 April
Language
  • English

Edition details

Title
  • Worst VaR scenarios: A remark.
Appears In
  • Insurance: Mathematics &​ Economics, v.44, no.2, 2009 April, p.159(5) (ISSN: 0167-6687)
Author
  • Laeven, Roger J.A.
Published
  • Elsevier B.V., 2009 April
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • 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
Terms of Use
  • COPYRIGHT 2009 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 199901299

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