A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity

Yuri Imamura and Takashi Kato

Papers from arXiv.org

Abstract: In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for any confidence level if and only if those are comonotonic. This result also gives a new equivalent condition for the comonotonicity of random vectors.

Date: 2025-09
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Published in Journal of Applied Probability, First View, 18 September 2025, pp.1-5

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2509.12558

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