Worst VaR scenarios with given marginals and measures of association

DOI10.1016/j.insmatheco.2008.12.004zbMath1162.91417OpenAlexW2031203420MaRDI QIDQ1017757

Rob Kaas, Roger B. Nelsen, Roger J. A. Laeven

Publication date: 12 May 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.12.004

zbMATH Keywords

copulasvalue-at-riskmeasures of associationdependence propertiestail-value-at-riskworst case scenarios

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

Related Items (30)

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