On Tail Value-at-Risk for sums of non-independent random variables with a generalized Pareto distribution

Antonella Campana
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Antonella Campana: Dipartimento di Scienze Economiche Gestionali e Sociali, Università degli Studi del Molise, Via De Sanctis, Campobasso 86100, Italy, e-mail: campana@unimol.it, URL: www.unimol.it

The Geneva Risk and Insurance Review, 2007, vol. 32, issue 2, 169-180

Abstract: Recently in actuarial literature several authors have derived lower and upper bounds in the sense of convex order for sums of random variables with given marginal distributions and unknown dependency structure. In this paper, we derive convex bounds for sums of non-independent and identically distributed random variables when marginal distributions are mixture models. In particular, we examine some well-known risk measures and we find approximations for Tail Value-at-Risk of the sums considered when marginal distributions are generalized Pareto distributions. By numerical examples we illustrate the goodness of the presented approximations. The Geneva Risk and Insurance Review (2007) 32, 169–180. doi:10.1007/s10713-007-0008-y

Date: 2007
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