Worst VaR scenarios with given marginals and measures of association

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.

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Year of publication:	2009
Authors:	Kaas, Rob ; Laeven, Roger J.A. ; Nelsen, Roger B.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 2, p. 146-158
Publisher:	Elsevier
Keywords:	Value-at-Risk Tail-Value-at-Risk Worst case scenarios Copulas Measures of association Dependence properties

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004973681