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 |
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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