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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
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.

Keywords

Archimedean CopulaDependent RisksValue-at-RiskExtreme Value TheoryPickands-Balkema-de Haan TheoremMultivariate Extremes
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 1 , May 2003 , pp. 75 - 92
Copyright
Copyright © ASTIN Bulletin 2003

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