Worst VaR scenarios with given marginals and measures of association

R. Kaas, R.J.A. Laeven, R.B. Nelsen

Research output: Contribution to journalArticleScientificpeer-review

29 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)146-158
JournalInsurance: Mathematics & Economics
Volume44
Issue number2
Publication statusPublished - 2009

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