Diversification limit of quantiles under dependence uncertainty
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Cites work
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Coherent measures of risk
- Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
- Extreme value behavior of aggregate dependent risks
- Extreme value theory. An introduction.
- General convex order on risk aggregation
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On the Tail Behavior of Sums of Dependent Risks
- Quantitative risk management. Concepts, techniques and tools
- Random variables with maximum sums
- Reducing model risk via positive and negative dependence assumptions
- Residual life time at great age
- Risk aggregation with dependence uncertainty
- Risk concentration and diversification: second-order properties
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Second-order properties of tail probabilities of sums and randomly weighted sums
- Stochastic finance. An introduction in discrete time
- Sur la distribution limite du terme maximum d'une série aléatoire
- The class of subexponential distributions
- The complete mixability and convex minimization problems with monotone marginal densities
- Using copulae to bound the value-at-risk for functions of dependent risks
- Worst VaR scenarios with given marginals and measures of association
Cited in
(6)- Worst case portfolio vectors and diversification effects
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- Diversification quotients based on VaR and ES
- Subuniformity of harmonic mean p-values
- Asymptotic analysis of portfolio diversification
- Dependence structure of risk factors and diversification effects
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