Subadditivity of value-at-risk for Bernoulli random variables

DOI10.1016/J.SPL.2014.12.016MaRDI QIDQ2018624zbMATH OpenOpenAlexFDO

Authors Marius Hofert, Alexander J. McNeil

Publication date 24 March 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.12.016

zbMATH Keywords

value-at-riskBernoulli random variablesrisk measuresuperadditivityportfolio of bonds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Fat tails, VaR and subadditivity
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Bounds on the value-at-risk for the sum of possibly dependent risks
• Some remarks on the value-at-risk and the conditional value-at-risk
• On the bounds of value-at-risk for portfolio of interdependent risks

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A note on generalized inverses
• Coherent measures of risk
• Different Kinds of Risk
• Le Cam's Inequality and Poisson Approximations
• Multivariate stress scenarios and solvency
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• The complete mixability and convex minimization problems with monotone marginal densities

Cited in

(4)

• Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
• Fat tails, VaR and subadditivity
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Seven proofs for the subadditivity of expected shortfall

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• QRM

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