Reduction of Value-at-Risk bounds via independence and variance information

被引：23

作者：

Puccetti, Giovanni ^{[1
]}

Russchendorf, Ludger ^{[2
]}

Small, Daniel ^{[2
]}

Vanduffel, Steven ^{[3
]}

机构：

[1] Univ Milan, Dept Econ Management & Quantitat Methods, Milan, Italy

[2] Univ Freiburg, Dept Math Stochast, Freiburg, Germany

[3] Vrije Univ Brussels, Dept Econ, Brussels, Belgium

来源：

SCANDINAVIAN ACTUARIAL JOURNAL | 2017年 / 03期

关键词：

Value-at-Risk; dependence uncertainty; model risk; expected shortfall; MODEL UNCERTAINTY; ASYMPTOTIC EQUIVALENCE; AGGREGATION;

D O I：

10.1080/03461238.2015.1119717

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We derive lower and upper bounds for theValue-at-Risk of a portfolio of losseswhen the marginal distributions are known and independence among (some) subgroups of the marginal components is assumed. We provide several actuarial examples showing that the newly proposed bounds strongly improve those available in the literature that are based on the sole knowledge of the marginal distributions. When the variance of the joint portfolio loss is small enough, further improvements can be obtained.

引用

页码：245 / 266

页数：22

共 22 条

[1] Bounds on total economic capital: the DNB case study [J].