Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077475 | Insurance: Mathematics and Economics | 2009 | 6 Pages |
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].
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Paul Embrechts, Johanna NeÅ¡lehová, Mario V. Wüthrich,