How to estimate the value at risk under incomplete information

DOI10.1016/j.cam.2009.10.007zbMath1182.91099OpenAlexW2072299139MaRDI QIDQ847172

Bart Heijnen, Ann De Schepper

Publication date: 12 February 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.10.007

zbMATH Keywords

incomplete informationrisk managementvalue at risk

Mathematics Subject Classification ID

Related Items (11)

On distributional robust probability functions and their computations ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Optimal retention for a stop-loss reinsurance with incomplete information ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ In search of robust methods for multi-currency portfolio construction by value at risk ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach ⋮ The practical research on flood risk analysis based on IIOSM and fuzzy \(\alpha \)-cut technique ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces

Cites Work

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• Distribution-free option pricing
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• General restrictions on tail probabilities
• Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
• Best upper bounds on risks altered by deductibles under incomplete information
• Insurance calculations using incomplete information

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