Abstract
If risks are extremely heavy-tailed, it is essential to find the lower bound of a given risk measure. In this paper, we examine the asymptotic super(sub)additivity of the value-at-risk measure when losses are regularly varying but not necessarily independent.
| Original language | English |
|---|---|
| Pages (from-to) | 181-202 |
| Number of pages | 22 |
| Journal | Journal of risk management |
| Volume | 22 |
| Issue number | 1 |
| Publication status | Published - 2011 |
Keywords
- value-at-risk
- dependence
- regular variation
- super additivity
- sub additivity