Worst VaR scenarios with given marginals and measures of association

Rob Kaas, Roger J.A. Laeven () and Roger B. Nelsen

Insurance: Mathematics and Economics, 2009, vol. 44, issue 2, pages 146-158

Abstract: 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.

Keywords: Value-at-Risk; Tail-Value-at-Risk; Worst; case; scenarios; Copulas; Measures; of; association; Dependence; properties (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:2:p:146-158

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