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

DOI10.1016/J.INSMATHECO.2013.09.017zbMATH Open1290.62019OpenAlexW2028690092MaRDI QIDQ2015653FDOQ2015653

Authors: Giovanni Puccetti, Bin Wang, Ruodu Wang 

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

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zbMATH Keywords

expected shortfallvalue-at-riskBasel IIIcomplete mixabilityworst-dependence scenarios

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• 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
• Risk aggregation with dependence uncertainty
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Sharp bounds for sums of dependent risks
• Advances in complete mixability
• Bounds for joint portfolios of dependent risks

Cited In (21)

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

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