Analytical Bounds for two Value-at-Risk Functionals

By Werner Hürlimann. ASTIN Bulletin: The Journal of the International Actuarial Association, 2002

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a81ab3966a5417aa4068304e67e23e4dee9f6d44

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In Economics and Econometrics

1. Carole Bernard
2. Steven Vanduffel

In Finance

1. Carole Bernard
2. Steven Vanduffel
3. Silvana M. Pesenti

In Management Science and Operations Research

1. Carole Bernard
2. Steven Vanduffel
3. Silvana M. Pesenti
4. Ruodu Wang

Citations in the corpus

• Value-at-Risk Bounds with Variance Constraints (2015, unknown): “…the bounds are derived under the assumption that some of the moments of the portfolio sum are known; see Kaas and Goovaerts (1986a), (1986b), Hürlimann (1998, 2002) and De Schepper and Heijnen (2010) for treatments in the context of actuarial science and Grundy (1991), De Schepper and…”
• Robust distortion risk measures (2022, background): “Relevant papers include Hürlimann (2002) for the case of VaR and Cornilly et al. (2018) and Zhu and Shao (2018) for the case of (concave) distortion risk measures.”