Subadditivity of value-at-risk for Bernoulli random variables

DOI10.1016/J.SPL.2014.12.016zbMATH Open1312.91082OpenAlexW2045969600MaRDI QIDQ2018624FDOQ2018624

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

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

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)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• Title not available (Why is that?)
• Le Cam's Inequality and Poisson Approximations
• The complete mixability and convex minimization problems with monotone marginal densities
• A note on generalized inverses
• Multivariate stress scenarios and solvency
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Different Kinds of Risk

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

Uses Software

• QRM

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