Pesquisa de referências

Measuring portfolio risk under partial dependence information

Recurso electrónico / Electronic resource
MAP20180027314
Bernard, Carole
Measuring portfolio risk under partial dependence information / Carole Bernard, Michel Denuit, Steven Vanduffel
Sumario: In this article, we assess model risk on aggregation. If the marginal distributions of the risky components are known but their interdependence is not, it is possible to identify models that give rise to the maximum and minimum possible values for VaR
En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/09/2018 Volumen 85 Número 3 - septiembre 2018 , p. 843-867
1. Gerencia de riesgos . 2. Información financiera . 3. Solvencia II . 4. Empresas de seguros . I. Denuit, Michel . II. Vanduffel, Steven . III. Título.