Worst VaR scenarios: A remark

DOI10.1016/j.insmatheco.2008.10.006zbMath1160.91370OpenAlexW3122572929MaRDI QIDQ1017758

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://pure.uva.nl/ws/files/3770283/94947_270fulltext.pdf

zbMATH Keywords

copulasvalue-at-riskworst-case scenarioscomonotonicitydependent risks

Mathematics Subject Classification ID

Related Items (13)

A multivariate extension of the increasing convex order to compare risks ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Systemic risk: conditional distortion risk measures ⋮ Stochastic comparisons of capital allocations with applications ⋮ Multivariate stress scenarios and solvency ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Worst case risk measurement: back to the future? ⋮ Applications of conditional comonotonicity to some optimization problems ⋮ SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK ⋮ Distributional bounds for portfolio risk with tail dependence ⋮ Worst VaR scenarios with given marginals and measures of association ⋮ On the uncertainty of VaR of individual risk

Cites Work

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• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Stochastic bounds on sums of dependent risks
• Worst VaR scenarios
• Some asymptotic results for sums of dependent random variables, with actuarial applications
• Random variables with maximum sums
• Upper and lower bounds for sums of random variables

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