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.
|Number of pages||22|
|Journal||Journal of risk management|
|Publication status||Published - 2011|
- regular variation
- super additivity
- sub additivity