Worst VaR scenarios

A remark

R.J.A. Laeven

Research output: Contribution to journalArticleScientificpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)159-163
JournalInsurance: Mathematics & Economics
Volume44
Issue number2
Publication statusPublished - 2009

Fingerprint

Dependence Structure
Insurance
Scenarios
Comonotonicity
Sums of Random Variables
Value at Risk
Partial Information
Marginal Distribution
Upper and Lower Bounds
Unknown
Dependent
Theorem
Dependence structure
Upper bound
Partial information
Value at risk
Sums of random variables
Dependent risks
Lower bounds

Cite this

Laeven, R. J. A. (2009). Worst VaR scenarios: A remark. Insurance: Mathematics & Economics, 44(2), 159-163.
Laeven, R.J.A. / Worst VaR scenarios : A remark. In: Insurance: Mathematics & Economics. 2009 ; Vol. 44, No. 2. pp. 159-163.
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Laeven, RJA 2009, 'Worst VaR scenarios: A remark', Insurance: Mathematics & Economics, vol. 44, no. 2, pp. 159-163.

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

In: Insurance: Mathematics & Economics, Vol. 44, No. 2, 2009, p. 159-163.

Research output: Contribution to journalArticleScientificpeer-review

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