Treffer: Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables: Asymptotic value-at-risk estimates for sums of dependent random variables

Title:
Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables: Asymptotic value-at-risk estimates for sums of dependent random variables
Authors:
Wüthrich, Mario V.
Source:
ASTIN Bulletin. 33:75-92
Publisher Information:
Cambridge University Press (CUP), 2003.
Publication Year:
2003
Subject Terms:
Applications of statistics to actuarial sciences and financial mathematics, Archimedean copula, extreme value theory, Statistics of extreme values, tail inference, 05 social sciences, 01 natural sciences, multivariate extremes, dependent risks, 13. Climate action, Risk theory, insurance, value-at-risk, 0502 economics and business, 0101 mathematics, Characterization and structure theory for multivariate probability distributions, copulas, Pickands-Balkema-de Haan theorem
Document Type:
Fachzeitschrift Article
File Description:
application/xml
Language:
English
ISSN:
1783-1350
0515-0361
DOI:
10.2143/ast.33.1.1040
DOI:
10.1017/s0515036100013313
Access URL:
https://www.cambridge.org/core/services/aop-cambridge-core/content/view/6B1B21CB41C64F96FF38992ECE4C7CB8/S0515036100013313a.pdf/div-class-title-asymptotic-value-at-risk-estimates-for-sums-of-dependent-random-variables-div.pdf
https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/asymptotic-valueatrisk-estimates-for-sums-of-dependent-random-variables/6B1B21CB41C64F96FF38992ECE4C7CB8
https://ideas.repec.org/a/cup/astinb/v33y2003i01p75-92_01.html
https://econpapers.repec.org/article/cupastinb/v_3a33_3ay_3a2003_3ai_3a01_3ap_3a75-92_5f01.htm
http://www.actuaries.org/LIBRARY/ASTIN/vol33no1/75.pdf
http://doc.rero.ch/record/304393/files/S0515036100013313.pdf
Rights:
Cambridge Core User Agreement
Accession Number:
edsair.doi.dedup.....2e891eb8af3e977b21730e3331f41c3e
Database:
OpenAIRE

Weitere Informationen

We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.