Asymptotic value-at-risk estimates for sums of dependent random variables

We estimate Value-at-Risk for sums of dependent random variables.We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.

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Year of publication:	2003-05-01
Authors:	Wüthrich, Mario V.
Publisher:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Subject:	Value at Risk \| Versicherungswirtschaft \| Versicherungsmathematik

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Extent:	18 p. 386,65 p. application/pdf
Series:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 33, NO. 1, 2003, pp 75-92
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Working Papers, Preprints ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847036