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.
Complete mixability; Worst-dependence scenarios; Value-at-Risk; Expected Shortfall; Basel III
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
2013
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/296811
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