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Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

Published online by Cambridge University Press:  17 April 2015

Mario V. Wüthrich*
Affiliation:
Winterthur Insurance, Römerstrasse 17, P.O. Box 357, CH-8401 Winterthur, Switzerland, [email protected]
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Abstract

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We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.

Type
Research Article
Copyright
Copyright © ASTIN Bulletin 2003

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