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Value-at-Risk Bounds With Variance Constraints

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  • Carole Bernard
  • Ludger Rüschendorf
  • Steven Vanduffel

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  • Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959
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    File URL: http://hdl.handle.net/10.1111/jori.12108
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    2. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
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    9. Pagnoncelli, Bernardo K. & Vanduffel, Steven, 2012. "A provisioning problem with stochastic payments," European Journal of Operational Research, Elsevier, vol. 221(2), pages 445-453.
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    18. Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul, 2008. "On the parameterization of the CreditRisk + model for estimating credit portfolio risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 736-745, April.
    19. J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke, 2005. "Comonotonic Approximations for Optimal Portfolio Selection Problems," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 253-300, June.
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    Cited by:

    1. Lauzier, Jean-Gabriel & Lin, Liyuan & Wang, Ruodu, 2023. "Pairwise counter-monotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 279-287.
    2. Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
    3. Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
    4. Roberto Fontana & Elisa Luciano & Patrizia Semeraro, 2021. "Model risk in credit risk," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 176-202, January.
    5. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
    6. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
    7. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2021. "A model-free approach to multivariate option pricing," Review of Derivatives Research, Springer, vol. 24(2), pages 135-155, July.
    8. Cornilly, Dries & Vanduffel, Steven, 2019. "Equivalent distortion risk measures on moment spaces," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 187-192.
    9. Tuitman, Jan & Vanduffel, Steven & Yao, Jing, 2020. "Correlation matrices with average constraints," Statistics & Probability Letters, Elsevier, vol. 165(C).
    10. Rüschendorf L., 2018. "Risk bounds with additional information on functionals of the risk vector," Dependence Modeling, De Gruyter, vol. 6(1), pages 102-113, June.
    11. Yuyu Chen & Peng Liu & Yang Liu & Ruodu Wang, 2022. "Ordering and inequalities for mixtures on risk aggregation," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 421-451, January.
    12. Chen, Yuyu & Lin, Liyuan & Wang, Ruodu, 2022. "Risk aggregation under dependence uncertainty and an order constraint," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 169-187.
    13. Yuyu Chen & Liyuan Lin & Ruodu Wang, 2021. "Risk Aggregation under Dependence Uncertainty and an Order Constraint," Papers 2104.07718, arXiv.org, revised Oct 2021.
    14. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2018. "Rearrangement algorithm and maximum entropy," Annals of Operations Research, Springer, vol. 261(1), pages 107-134, February.
    15. Yuyu Chen & Peng Liu & Yang Liu & Ruodu Wang, 2020. "Ordering and Inequalities for Mixtures on Risk Aggregation," Papers 2007.12338, arXiv.org, revised Jun 2021.
    16. Stephan Eckstein & Michael Kupper & Mathias Pohl, 2018. "Robust risk aggregation with neural networks," Papers 1811.00304, arXiv.org, revised May 2020.
    17. Rüschendorf, L., 2019. "Analysis of risk bounds in partially specified additive factor models," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 115-121.
    18. Giovanni Puccetti & Pietro Rigo & Bin Wang & Ruodu Wang, 2019. "Centers of probability measures without the mean," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1482-1501, September.
    19. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.
    20. Bernard, Carole & Kazzi, Rodrigue & Vanduffel, Steven, 2020. "Range Value-at-Risk bounds for unimodal distributions under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 9-24.

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