Reduction of Value-at-Risk bounds via independence and variance information

DOI10.1080/03461238.2015.1119717zbMath1401.91185OpenAlexW3123475710MaRDI QIDQ4575463

Daniel Small, Giovanni Puccetti, Steven Vanduffel, Ludger Rüschendorf

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1119717

zbMATH Keywords

value-at-riskmodel riskexpected shortfalldependence uncertainty

Mathematics Subject Classification ID

Related Items (17)

VaR bounds in models with partial dependence information on subgroups ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Improved algorithms for computing worst value-at-risk ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Correlation matrices with average constraints ⋮ Risk Bounds and Partial Dependence Information ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Equivalent distortion risk measures on moment spaces ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ VaR bounds for joint portfolios with dependence constraints ⋮ Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Model Uncertainty in a Holistic Perspective ⋮ Simulation methods for robust risk assessment and the distorted mix approach

Uses Software

• QRM

Cites Work

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