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Conference Paper: Extremal dependence structures and bounds of Tail Value-at-Risk

TitleExtremal dependence structures and bounds of Tail Value-at-Risk
Authors
Issue Date2015
PublisherThe University of Hong Kong & Society of Actuaries.
Citation
Current Topics on Actuarial Models with Dependence Structure Seminar, Hong Kong, 6 May 2015 How to Cite?
AbstractIn quantitative risk management, we often need to deal with risk aggregation with dependence uncertainty. In this session, we examine several extremal positive and negative dependence structures. We will also discuss their relationships with upper and lower bounds of concave distortion risk measures of aggregate risks.
DescriptionOrganized by The University of Hong Kong & Society of Actuaries (SOA)
Session 2
Persistent Identifierhttp://hdl.handle.net/10722/226899

 

DC FieldValueLanguage
dc.contributor.authorCheung, KC-
dc.date.accessioned2016-07-11T06:44:19Z-
dc.date.available2016-07-11T06:44:19Z-
dc.date.issued2015-
dc.identifier.citationCurrent Topics on Actuarial Models with Dependence Structure Seminar, Hong Kong, 6 May 2015-
dc.identifier.urihttp://hdl.handle.net/10722/226899-
dc.descriptionOrganized by The University of Hong Kong & Society of Actuaries (SOA)-
dc.descriptionSession 2-
dc.description.abstractIn quantitative risk management, we often need to deal with risk aggregation with dependence uncertainty. In this session, we examine several extremal positive and negative dependence structures. We will also discuss their relationships with upper and lower bounds of concave distortion risk measures of aggregate risks.-
dc.languageeng-
dc.publisherThe University of Hong Kong & Society of Actuaries.-
dc.relation.ispartofCurrent Topics on Actuarial Models with Dependence Structure Seminar-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleExtremal dependence structures and bounds of Tail Value-at-Risk-
dc.typeConference_Paper-
dc.identifier.emailCheung, KC: kccg@hku.hk-
dc.identifier.authorityCheung, KC=rp00677-
dc.description.naturepublished_or_final_version-
dc.publisher.placeHong Kong-

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