Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

DOI10.1016/j.insmatheco.2013.09.017zbMath1290.62019OpenAlexW2028690092MaRDI QIDQ2015653

Ruodu Wang, Bin Wang, Giovanni Puccetti

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.017

zbMATH Keywords

value-at-riskexpected shortfallBasel IIIcomplete mixabilityworst-dependence scenarios

Mathematics Subject Classification ID

Related Items (20)

VaR bounds in models with partial dependence information on subgroups ⋮ Risk bounds for factor models ⋮ Joint Mixability ⋮ How Superadditive Can a Risk Measure Be? ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ General convex order on risk aggregation ⋮ Reduction of Value-at-Risk bounds via independence and variance information ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Quantile of a mixture with application to model risk assessment ⋮ Risk Bounds and Partial Dependence Information ⋮ Detecting complete and joint mixability ⋮ ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY ⋮ Current open questions in complete mixability ⋮ Extreme negative dependence and risk aggregation ⋮ Extremal dependence concepts ⋮ On sums of two counter-monotonic risks ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ Studying mixability with supermodular aggregating functions ⋮ On aggregation sets and lower-convex sets

Cites Work

• Unnamed Item
• The complete mixability and convex minimization problems with monotone marginal densities
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Risk aggregation with dependence uncertainty
• Bounds for joint portfolios of dependent risks
• Coherent Measures of Risk
• Advances in Complete Mixability
• Sharp Bounds for Sums of Dependent Risks

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