We give a new sufficient condition for a continuous distribution to be completely mixable, and we use this condition to show that the worst-possible value-at-risk for the sum of d inhomogeneous risks is equivalent to the worst-possible expected shortfall under the same marginal assumptions, in the limit as d→∞. Numerical applications show that this equivalence holds also for relatively small dimensions d.
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates / G. Puccetti, B. Wang, R. Wang. - In: INSURANCE MATHEMATICS & ECONOMICS. - ISSN 0167-6687. - 53:3(2013), pp. 821-828. [10.1016/j.insmatheco.2013.09.017]
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
G. Puccetti;
2013
Abstract
We give a new sufficient condition for a continuous distribution to be completely mixable, and we use this condition to show that the worst-possible value-at-risk for the sum of d inhomogeneous risks is equivalent to the worst-possible expected shortfall under the same marginal assumptions, in the limit as d→∞. Numerical applications show that this equivalence holds also for relatively small dimensions d.
| File | Dimensione | Formato | |
|---|---|---|---|
|
PW13.pdf
accesso riservato
Tipologia:
Publisher's version/PDF
Dimensione
434.73 kB
Formato
Adobe PDF
|
434.73 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
