Model-free bounds on Value-at-Risk using extreme value information and statistical distances-Reference-Cited by-同舟云学术

Model-free bounds on Value-at-Risk using extreme value information and statistical distances

Published:2019-05 Issue: Volume:86 Page:73-83
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Lux Thibaut,Papapantoleon Antonis

Funder

DFG

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference44 articles.

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3. A note on improved Fréchet bounds and model-free pricing of multi-asset options by Tankov (2011);Bernard;J. Appl. Probab.,2012

4. Risk aggregation with dependence uncertainty;Bernard;Insur. Math. Econom.,2014

5. Value-at-risk bounds with variance constraints;Bernard;J. Risk Insur.,2017

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