Worst VaR scenarios with given marginals and measures of association
type: Item
instance of: scholarly article
title: Worst VaR scenarios with given marginals and measures of association
zbMATH Open document ID: 1162.91417
author: Rob Kaas
author: Roger J. A. Laevent
author: Roger B. Nelsen
published in: Insurance Mathematics \& Economics
publication date: 2009-05-12T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5553068
zbMATH Keywords: value-at-risk
zbMATH Keywords: tail-value-at-risk
zbMATH Keywords: worst case scenarios
zbMATH Keywords: copulas
zbMATH Keywords: measures of association
zbMATH Keywords: dependence properties
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.12.004
OpenAlex ID: W2031203420
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DOI: 10.1016/J.INSMATHECO.2008.12.004
description: scientific article; zbMATH DE number 5553068