Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
By Mario V. Wüthrich. ASTIN Bulletin: The Journal of the International Actuarial Association, 2003
54 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/b4c90910d3bcdb49718a660647c61846c02b1f86
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Hansjörg Albrecher *
- Dominik Kortschak
- Søren Asmussen
- Stan Alink
- Matthias Löwe
- Mario V. Wüthrich
- Qihe Tang
- Andreas E. Kyprianou
In Management Science and Operations Research
- Hansjörg Albrecher *
- Dominik Kortschak
- Søren Asmussen
- Stan Alink
- Matthias Löwe
- Mario V. Wüthrich
- Qihe Tang
- Haijun Li
Citations in the corpus
- Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, unknown): “Theorem 3.3 (Fr´ echet case) in W¨ uthrich [ 29 ].”
- Tail asymptotics for the sum of two heavy-tailed dependent risks (2006, methodology): “For Archimedean copulae this result could be exploited in Wüthrich [32] and Alink et al.”
- Diversification of aggregate dependent risks (2004, background): “Abstract We give a new proof of the central result in [19]: For d identically and continuously distributed risks X1, .”