| Authors |
|
| Publication date |
2009
|
| Journal |
Insurance: Mathematics & Economics
|
| Volume | Issue number |
44 | 2
|
| Pages (from-to) |
146-158
|
| Number of pages |
13
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
-
Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
|
| Abstract |
This 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 type |
Article
|
| Published at |
https://doi.org/10.1016/j.insmatheco.2008.12.004
|
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