Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Giovanni Puccetti, Bin Wang and Ruodu Wang

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 821-828

Abstract: We give a new sufficient condition for a continuous distribution to be completely mixable, and we use this condition to show that the worst-possible value-at-risk for the sum of d inhomogeneous risks is equivalent to the worst-possible expected shortfall under the same marginal assumptions, in the limit as d→∞. Numerical applications show that this equivalence holds also for relatively small dimensions d.

Keywords: Complete mixability; Worst-dependence scenarios; Value-at-Risk; Expected Shortfall; Basel III (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:821-828

DOI: 10.1016/j.insmatheco.2013.09.017

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