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Query: faculty: "FEB" and publication year: "2009"

AuthorsR. Kaas, R.J.A. Laeven, R.B. Nelsen
TitleWorst VaR scenarios with given marginals and measures of association
JournalInsurance: Mathematics & Economics
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam Business School Research Institute (ABS-RI)
FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThis paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is available. The same problem for the Tail-Value-at-Risk is also briefly discussed.
Document typeArticle
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