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Keywords:
| worst-case |
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| mixability |
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| ES |
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| shortfall |
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| multivariate |
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| inhomogeneous |
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Categories:
| VaR Methods |
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| --Parametric |
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Half-Life:
Impact:
Complete Mixability and Asymptotic Equivalence of Worst-Possible VaR and ES Estimates
Company: Insurance: Mathematics and Economics
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: October
Resource Link: Click here to open
Download Count: 0
View Count: 1096
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-12-2013
Publisher: Administrator
Summary
We give a new sufficient condition for a continuous distribution to be completely mixable, and we use this condition to show that the worst-possible Value-at-Risk for the sum of d inhomogeneous risks is equivalent to the worst-possible Expected Shortfall under the same marginal assumptions, in the limit. Numerical applications show that this equivalence holds also for relatively small dimensions. This may be viewed online without charge here:
https://sites.google.com/site/giovannipuccetti/research (accessed 10-12-2013)
https://sites.google.com/site/giovannipuccetti/research (accessed 10-12-2013)
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