Reduction of Value-at-Risk bounds via independence and variance information
Reduction of Value-at-Risk bounds via independence and variance information
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DOI：
10.1080/03461238.2015.1119717
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发表时间：
2015-09
影响因子：
1.8
通讯作者：
Giovanni Puccetti-;L. Rüschendorf;Daniel Small;S. Vanduffel
中科院分区：
文献类型：
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作者：
Giovanni Puccetti-;L. Rüschendorf;Daniel Small;S. Vanduffel
我们推导出的风险价值的投资组合的损失时，边际分布是已知的和独立的（一些）子组的边际组件是假设的下限和上限。我们提供了几个精算的例子表明，新提出的界限大大提高了文献中的边际分布的唯一知识的基础上。当联合投资组合损失的方差足够小时，可以获得进一步的改进。
We derive lower and upper bounds for the Value-at-Risk of a portfolio of losses when the marginal distributions are known and independence among (some) subgroups of the marginal components is assumed. We provide several actuarial examples showing that the newly proposed bounds strongly improve those available in the literature that are based on the sole knowledge of the marginal distributions. When the variance of the joint portfolio loss is small enough, further improvements can be obtained.