Worst VAR Scenarios: A Remark
Copyright policy )Worst VAR Scenarios: A Remark
Theorem 15 of Embrechts, Höing & Puccetti (IME, 2005) proves that the comonotonic dependence structure gives rise to the on-average-most-adverse Value-at-Risk scenario 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.
- Tilburg University Netherlands
- University of Amsterdam Netherlands
Applications of statistics to actuarial sciences and financial mathematics, dependent risks, copulas, Risk theory, insurance, value-at-risk, Inequalities; stochastic orderings, Probability distributions: general theory, comonotonicity, worst-case scenarios, 510
Applications of statistics to actuarial sciences and financial mathematics, dependent risks, copulas, Risk theory, insurance, value-at-risk, Inequalities; stochastic orderings, Probability distributions: general theory, comonotonicity, worst-case scenarios, 510
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