Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
type: Item
instance of: scholarly article
title: Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
zbMATH Open document ID: 1163.91431
author: Paul Embrechts
author: Mario V. Wüthrich
author: Johanna Nešlehová
published in: Insurance Mathematics \& Economics
publication date: 2009-05-12T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5553070
zbMATH Keywords: value-at-risk
zbMATH Keywords: subadditivity
zbMATH Keywords: dependence structure
zbMATH Keywords: archimedean copula
zbMATH Keywords: aggregation
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2008.08.001
OpenAlex ID: W1987690364
cites work: Diversification of aggregate dependent risks
cites work: Coherent measures of risk
cites work: On the Tail Behavior of Sums of Dependent Risks
cites work: The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
cites work: Q4343010
cites work: Correlation inequalities on some partially ordered sets
cites work: Q4382161
cites work: Q4163421
cites work: A probabilistic interpretation of complete monotonicity
cites work: Q4955637
cites work: Q5706744
cites work: Rates in approximations to ruin probabilities for heavy-tailed distributions
cites work: Stop-loss order for portfolios of dependent risks
cites work: An introduction to copulas.
cites work: Q4380378
cites work: Q3771297
cites work: The Extremal Dependence Measure and Asymptotic Independence
cites work: Supermodular dependence ordering on a class of multivariate copulas
cites work: Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
DOI: 10.1016/J.INSMATHECO.2008.08.001
description: scientific article; zbMATH DE number 5553070