Worst VaR scenarios with given marginals and measures of association
| Authors |
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| Publication date | 2009 |
| Journal | Insurance: Mathematics & Economics |
| Volume | Issue number | 44 | 2 |
| Pages (from-to) | 146-158 |
| Number of pages | 13 |
| Organisations |
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| 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
(Final published version)
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