Upper bounds on value-at-risk for the maximum portfolio loss

DOI10.1007/S10687-014-0198-5zbMATH Open1314.91201OpenAlexW2037277027MaRDI QIDQ482076FDOQ482076

Authors: Robert Yuen, Stilian Stoev 

Publication date: 19 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0198-5

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zbMATH Keywords

value at riskmax-stablelower orthant ordermaximum portfolio lossTawn-Molchanov model

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Statistics of Extremes
• Likelihood-Based Inference for Max-Stable Processes
• Extreme value theory. An introduction.
• Extremes and related properties of random sequences and processes
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Convex geometry of max-stable distributions
• An M-estimator for tail dependence in arbitrary dimensions
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• Stochastic orders
• Dependence measures for extreme value analyses
• Title not available (Why is that?)
• Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
• On the Tail Behavior of Sums of Dependent Risks
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• An exceptional max-stable process fully parameterized by its extremal coefficients
• CRPS M-estimation for max-stable models
• Discussion of ``Statistical modeling of spatial extremes by A. C. Davison, S. A. Padoan and M. Ribatet

Cited In (4)

• Stochastic ordering in multivariate extremes
• Max-stable random sup-measures with comonotonic tail dependence
• Maximum variation of total risk
• The realization problem for tail correlation functions

Uses Software

• quadprog

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