Worst VaR scenarios: A remark

Insurance: Mathematics and Economics

Volumn 44, Issue 2, 2009, Pages 159-163

  Laeven, Roger J A ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

Comonotonicity; Copulas; Dependent risks; Value at Risk; Worst case scenarios

Indexed keywords

EID: 63449107051     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.10.006     Document Type: Article

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