- Worst VaR scenarios: a remark
- Number of pages
- Amsterdam: University of Amsterdam, Dept. of Quantitative Economics, Actuarial Science
- ACT working paper
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
Amsterdam Business School Research Institute (ABS-RI)
- Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic dependence structure gives rise to the on-average-most-adverse
for a function of dependent risks, when the marginal distributions are known but the
dependence structure between the risks is unknown. This note extends this result
to the case where, instead of no information, partial information on the dependence
structure between the risks is available.
- Universiteit van Amsterdam
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