Abstract
We estimate Value-at-Risk for sums of dependent random variables.We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.
Volume
33
Page
75-92
Number
1
Year
2003
Categories
New Risk Measures
Publications
ASTIN Bulletin