Worst VaR scenarios with given marginals and measures of association

DOI10.1016/j.insmatheco.2008.12.004zbMath1162.91417OpenAlexW2031203420MaRDI QIDQ1017757

Rob Kaas, Roger B. Nelsen, Roger J. A. Laeven

Publication date: 12 May 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.12.004

zbMATH Keywords

copulasvalue-at-riskmeasures of associationdependence propertiestail-value-at-riskworst case scenarios

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

Related Items

Diversification limit of quantiles under dependence uncertainty ⋮ COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ A multivariate extension of the increasing convex order to compare risks ⋮ Which eligible assets are compatible with comonotonic capital requirements? ⋮ Systemic risk: conditional distortion risk measures ⋮ Sharing the value‐at‐risk under distributional ambiguity ⋮ A simulation-based method for estimating systemic risk measures ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Multivariate stress scenarios and solvency ⋮ Excess based allocation of risk capital ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ Worst-case moments under partial ambiguity ⋮ Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities ⋮ Multivariate tail dependence and local stochastic dominance ⋮ Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation ⋮ Choosing a random distribution with prescribed risks ⋮ Asymptotic behavior of the empirical conditional value-at-risk ⋮ Worst case risk measurement: back to the future? ⋮ Equivalent distortion risk measures on moment spaces ⋮ SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK ⋮ Distributional bounds for portfolio risk with tail dependence ⋮ Stochastic distortion and its transformed copula ⋮ Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options ⋮ Risk aggregation with dependence uncertainty ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Worst VaR scenarios: A remark ⋮ Copula-based Markov process ⋮ The Bivariate Normal Copula ⋮ Portfolios Optimization Under Regime Switching Model: Evidences in the American Bonds and Other Financial Assets ⋮ Copulas Based on Marshall–Olkin Machinery

Cites Work

• Unnamed Item
• Unnamed Item
• An optimization approach to the dynamic allocation of economic capital
• Bounds for functions of dependent risks
• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Worst VaR scenarios: A remark
• Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
• Comonotonicity, correlation order and premium principles
• An introduction to copulas. Properties and applications
• The concept of comonotonicity in actuarial science and finance: theory.
• Using copulae to bound the value-at-risk for functions of dependent risks
• Best-possible bounds on sets of bivariate distribution functions
• Stochastic bounds on sums of dependent risks
• Worst VaR scenarios
• A Comparison of Bounds on Sets of Joint Distribution Functions Derived from Various Measures of Association
• Random variables with maximum sums
• BOUNDS ON BIVARIATE DISTRIBUTION FUNCTIONS WITH GIVEN MARGINS AND MEASURES OF ASSOCIATION