Worst VaR scenarios with given marginals and measures of association
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is available. The same problem for the Tail-Value-at-Risk is also briefly discussed.
Year of publication: |
2009
|
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Authors: | Kaas, Rob ; Laeven, Roger J.A. ; Nelsen, Roger B. |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 2, p. 146-158
|
Publisher: |
Elsevier |
Keywords: | Value-at-Risk Tail-Value-at-Risk Worst case scenarios Copulas Measures of association Dependence properties |
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