Worst VaR scenarios: A remark
type: Item
instance of: scholarly article
title: Worst VaR scenarios: A remark
zbMATH Open document ID: 1160.91370
author: Roger J. A. Laevent
published in: Insurance Mathematics \& Economics
publication date: 2009-05-12T00:00:00Z
full work available at URL: 94947 270fulltext.pdf
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5553069
zbMATH Keywords: dependent risks
zbMATH Keywords: value-at-risk
zbMATH Keywords: copulas
zbMATH Keywords: worst-case scenarios
zbMATH Keywords: comonotonicity
MaRDI profile type: Publication
OpenAlex ID: W3122572929
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DOI: 10.1016/J.INSMATHECO.2008.10.006
description: scientific article; zbMATH DE number 5553069