### Abstract

Original language | English |
---|---|

Pages (from-to) | 159-163 |

Journal | Insurance: Mathematics & Economics |

Volume | 44 |

Issue number | 2 |

Publication status | Published - 2009 |

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### Cite this

*Insurance: Mathematics & Economics*,

*44*(2), 159-163.

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*Insurance: Mathematics & Economics*, vol. 44, no. 2, pp. 159-163.

**Worst VaR scenarios : A remark.** / Laeven, R.J.A.

Research output: Contribution to journal › Article › Scientific › peer-review

TY - JOUR

T1 - Worst VaR scenarios

T2 - A remark

AU - Laeven, R.J.A.

PY - 2009

Y1 - 2009

N2 - Theorem 15 of Embrechts et al. [Embrechts, Paul, Höing, Andrea, Puccetti, Giovanni, 2005. Worst VaR scenarios. Insurance: Math. Econom. 37, 115–134] proves that comonotonicity 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, rather than no information, partial information is available on the dependence structure between the risks. A result of Kaas et al. [Kaas, Rob, Dhaene, Jan, Goovaerts, Marc J., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econom. 23, 151–168] is also generalized for this purpose.

AB - Theorem 15 of Embrechts et al. [Embrechts, Paul, Höing, Andrea, Puccetti, Giovanni, 2005. Worst VaR scenarios. Insurance: Math. Econom. 37, 115–134] proves that comonotonicity 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, rather than no information, partial information is available on the dependence structure between the risks. A result of Kaas et al. [Kaas, Rob, Dhaene, Jan, Goovaerts, Marc J., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econom. 23, 151–168] is also generalized for this purpose.

M3 - Article

VL - 44

SP - 159

EP - 163

JO - Insurance: Mathematics & Economics

JF - Insurance: Mathematics & Economics

SN - 0167-6687

IS - 2

ER -