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ASYMPTOTIC SUPER(SUB)ADDITIVITY OF THE VALUE-AT-RISK OF REGULARLY VARYING RANDOM VARIABLES

장지욱|조재훈
한국리스크관리학회 (Korea Risk Management Society)|2011.06|리스크관리연구 (The Journal of Risk Management)|제22권 제1호|pp. 181-202|DOI 10.21480/tjrm.22.1.201106.008

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주제분류경영학

초록

If risks are extremely heavy-tailed, it is essential to find the lower bound of a given risk measure. In this paper, we examine the asymptotic super(sub)additivity of the value-at-risk measure when losses are regularly varying but not necessarily independent.

Abstract

If risks are extremely heavy-tailed, it is essential to find the lower bound of a given risk measure. In this paper, we examine the asymptotic super(sub)additivity of the value-at-risk measure when losses are regularly varying but not necessarily independent.

참고문헌 (6)

  1. CHAVEZ-DEMOULIN, V, "Infinite mean models and the LDA for operational risk", Journal of Operational Risk, 1, pp.3~25 (2006)
  2. Subadditivity re-examined: the case for Value-at-Risk, "DANIELSSON J.", London School of Economics financial markets group, ~, pp.London School of Economics financial markets group discussion paper series ISSU 549 (2005)
  3. EMBRECHTS P., "Modelling Extremal Events for Insurance and Finance" (1997), Springer
  4. FELLER W, "An Introduction to Probability Theory and Its Applications Vol. 2" (1971), John Wiley & Sons
  5. JOHNSON N. L., "Distributions in Statistics: Continuous Multivariate Distributions" (1972), John Wiley & Sons
  6. NELSEN R. B., "An Introduction to Copulas", Lecture Notes in Statistics, (139) (1999), Springer

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