摘要 : The worst possible Value-at-Risk for a non-decreasing function ψ of n dependent risks is known when n = 2 or the copula of the portfolio is bounded from below. In this paper we analyze the properties of the dependence structures l... 展开
作者 | Paul Embrechts Andrea Hoeing Giovanni Puccetti |
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作者单位 | |
期刊名称 | 《Insurance》 |
页码/总页数 | p.115-134 / 20 |
语种/中图分类号 | 英语 / f |
关键词 | value-at-risk dependent risks copulas comonotonic risks |
馆藏号 | F-164 |