Subadditivity of value-at-risk for Bernoulli random variables

DOI10.1016/J.SPL.2014.12.016zbMath1312.91082OpenAlexW2045969600MaRDI QIDQ2018624

Alexander J. McNeil, Marius Hofert

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.12.016

zbMATH Keywords

value-at-riskrisk measureBernoulli random variablessuperadditivityportfolio of bonds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• QRM

Cites Work

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• Multivariate stress scenarios and solvency
• The complete mixability and convex minimization problems with monotone marginal densities
• A note on generalized inverses
• Coherent Measures of Risk
• Different Kinds of Risk
• Le Cam's Inequality and Poisson Approximations
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

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