Reduction of Value-at-Risk bounds via independence and variance information
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Publication:4575463
DOI10.1080/03461238.2015.1119717zbMATH Open1401.91185OpenAlexW3123475710MaRDI QIDQ4575463FDOQ4575463
Authors: Giovanni Puccetti, Ludger Rüschendorf, Daniel Small, Steven Vanduffel 
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2015.1119717
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Cited In (28)
- Range value-at-risk bounds for unimodal distributions under partial information
- Equivalent distortion risk measures on moment spaces
- Upper bounds for strictly concave distortion risk measures on moment spaces
- On bounds of value-at-risk and convex risk measure of portfolio of weighted dependent risks
- VaR bounds in models with partial dependence information on subgroups
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Model uncertainty in a holistic perspective
- VaR bounds for joint portfolios with dependence constraints
- Collective risk models with dependence uncertainty
- Risk aggregation under dependence uncertainty and an order constraint
- Analysis of risk bounds in partially specified additive factor models
- Risk bounds with additional information on functionals of the risk vector
- Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables
- Risk bounds and partial dependence information
- Portfolio Value at Risk Bounds
- Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
- Reducing model risk via positive and negative dependence assumptions
- Value-at-risk bounds with two-sided dependence information
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Improved algorithms for computing worst value-at-risk
- Variance Reduction Techniques for Estimating Value-at-Risk
- The impact of correlation on (Range) Value-at-Risk
- Correlation matrices with average constraints
- Concentration inequality of sums of dependent subexponential random variables and application to bounds for value-at-risk
- Simulation methods for robust risk assessment and the distorted mix approach
- Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model
- Worst-case range value-at-risk with partial information
- On the bounds of value-at-risk for portfolio of interdependent risks
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