Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

DOI10.2143/AST.33.1.1040MaRDI QIDQ4661674zbMATH OpenOpenAlexFDO

Authors Mario V. Wüthrich

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.33.1.1040

zbMATH Keywords

Archimedean copuladependent risksextreme value theorymultivariate extremesPickands-Balkema-de Haan theoremvalue-at-risk

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Archimedean copulas with applications to VaR estimation
• scientific article; zbMATH DE number 5363850
• Using copulae to bound the value-at-risk for functions of dependent risks
• Asymptotic behavior of extremal events for aggregate dependent random variables
• On the Tail Behavior of Sums of Dependent Risks

Cites work

• A probabilistic interpretation of complete monotonicity
• scientific article; zbMATH DE number 3870293 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Risk management: Value at risk and beyond

Cited in

(28)

• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Tails of multivariate Archimedean copulas
• Diversification of aggregate dependent risks
• Approximating sums of products of dependent random variables
• Archimedean copulas with applications to VaR estimation
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• Solvency need resulting from reserving risk in a ORSA context
• The fundamental theorem of mutual insurance
• Extreme value behavior of aggregate dependent risks
• Risk concentration of aggregated dependent risks: the second-order properties
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Second order risk aggregation with the Bernstein copula
• On the distribution of sums of random variables with copula-induced dependence
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• Toward a copula theory for multivariate regular variation
• On finite-time ruin probabilities with reinsurance cycles influenced by large claims
• Risk measures and multivariate extensions of Breiman's theorem
• Asymptotic bounds for the distribution of the sum of dependent random variables
• Distributionally robust goal-reaching optimization in the presence of background risk
• On additivity of tail comonotonic risks
• The mean of Marshall-Olkin-dependent exponential random variables
• Asymptotic behavior of extremal events for aggregate dependent random variables
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
• On optimal portfolio diversification with respect to extreme risks
• Copula-based estimation of meanimiles of aggregated risks
• Quantile-based estimative VaR forecast and dependence measure: a simulation approach

This page was built for publication: Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4661674)