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Conference Paper: Extremal dependence structures and bounds of Tail Value-at-Risk
| Title | Extremal dependence structures and bounds of Tail Value-at-Risk |
|---|---|
| Authors | |
| Issue Date | 2015 |
| Publisher | The 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? |
| Abstract | In 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. |
| Description | Organized by The University of Hong Kong & Society of Actuaries (SOA) Session 2 |
| Persistent Identifier | http://hdl.handle.net/10722/226899 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Cheung, KC | - |
| dc.date.accessioned | 2016-07-11T06:44:19Z | - |
| dc.date.available | 2016-07-11T06:44:19Z | - |
| dc.date.issued | 2015 | - |
| dc.identifier.citation | Current Topics on Actuarial Models with Dependence Structure Seminar, Hong Kong, 6 May 2015 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/226899 | - |
| dc.description | Organized by The University of Hong Kong & Society of Actuaries (SOA) | - |
| dc.description | Session 2 | - |
| dc.description.abstract | In 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.language | eng | - |
| dc.publisher | The University of Hong Kong & Society of Actuaries. | - |
| dc.relation.ispartof | Current Topics on Actuarial Models with Dependence Structure Seminar | - |
| dc.title | Extremal dependence structures and bounds of Tail Value-at-Risk | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Cheung, KC: kccg@hku.hk | - |
| dc.identifier.authority | Cheung, KC=rp00677 | - |
| dc.description.nature | published_or_final_version | - |
| dc.publisher.place | Hong Kong | - |