Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
Abstract
Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-at-Risk (VaR). We show how VaR can change from sub to superadditivity depending on the properties of the underlying model. Mainly, the switch from a finite to an infinite mean model gives a completely different asymptotic behaviour. Our main result proves a conjecture made in Barbe et al. [Barbe, P., Fougères, A.L., Genest, C., 2006. On the tail behavior of sums of dependent risks. ASTIN Bull. 36(2), 361-374].Download Info
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Bibliographic Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 44 (2009)
Issue (Month): 2 (April)
Pages: 164-169
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Handle: RePEc:eee:insuma:v:44:y:2009:i:2:p:164-169
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Web page: http://www.elsevier.com/locate/inca/505554
For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).
Related research
Keywords: Value-at-Risk Subadditivity Dependence structure Archimedean copula Aggregation;References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Chen Zou, 2009. "Dependence structure of risk factors and diversification effects," DNB Working Papers 219, Netherlands Central Bank, Research Department.
- Pavel V. Shevchenko, 2009. "Implementing Loss Distribution Approach for Operational Risk," Quantitative Finance Papers 0904.1805, arXiv.org, revised Jul 2009.
- Georg Mainik & Ludger Rüschendorf, 2010. "On optimal portfolio diversification with respect to extreme risks," Finance and Stochastics, Springer, vol. 14(4), pages 593-623, December.
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