Avoiding zero probability events when computing value at risk contributions

DOI10.1016/j.insmatheco.2022.06.004zbMath1498.91504arXiv2004.13235OpenAlexW3183869864MaRDI QIDQ2172041

Takaaki Koike, Yuri F. Saporito, Rodrigo S. Targino

Publication date: 14 September 2022

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

Full work available at URL: https://arxiv.org/abs/2004.13235

zbMATH Keywords

sensitivity analysisrisk managementvalue at riskcapital allocationEuler principle

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (1)

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Uses Software

• ks
• QRM

Cites Work

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