Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
AbstractMainly 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 etÂ al. [Barbe, P., Fougères, A.L., Genest, C., 2006. On the tail behavior of sums of dependent risks. ASTIN Bull. 36(2), 361-374].
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 44 (2009)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/inca/505554
Value-at-Risk Subadditivity Dependence structure Archimedean copula Aggregation;
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