Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness-Reference-Cited by-同舟云学术

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

Published:2009-04 Issue:2 Volume:44 Page:164-169
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Embrechts Paul,Nešlehová Johanna,Wüthrich Mario V.

Publisher

Elsevier BV

Subject

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

Reference29 articles.

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5. Daníelsson, J., Jorgensen, B.N., Samorodnitsky, G., Sarma, M., de Vries, C.G., 2005. Subadditivity re-examined: The case for value-at-risk. London School of Economics. Preprint

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