Worst VaR scenarios: A remark

Worst VaR Scenarios

The worst-possible Value-at-Risk for a non-decreasing function of dependent risks is known when or the copula of the portfolio is bounded from below. In this paper we analyze the properties of the dependence structures leading to this solution, in particular their form and the implied functional dependence between the marginals. Furthermore, we criticise the assumption of the worst-possible sce...

Extreme VaR scenarios in higher dimensions

The dependence scenario yielding the worst possible Value-at-Risk at a given level α for X1 + · · · + Xn is known for n = 2. In this paper we investigate this problem for higher dimensions. We provide a geometric interpretation highlighting the shape of the dependence structures which imply the worst possible scenario. For a portfolio (X1, . . . ,Xn) with given uniform marginals, we give an ana...

Minimizing worst-case and average-case makespan over scenarios

We consider scheduling problems over scenarios where the goal is to find a single assignment of the jobs to the machines which performs well over all scenarios in an explicitly given set. Each scenario is a subset of jobs that must be executed in that scenario. The two objectives that we consider are minimizing the maximum makespan over all scenarios and minimizing the sum of the makespans of a...

A Remark on a Remark by Macaulay or Enhancing Lazard Structural Theorem

Numerical Modeling of Tsunami Waves Associated With Worst Earthquake Scenarios of the Makran Subduction Zone in the Jask Port, Iran

The recent studies show that the past researches may have significantly underestimated earthquake and tsunami hazard in the Makran Subduction Zone (MSZ) and this region is potentially capable of producing major earthquakes. In this study, the worst case possible earthquake scenarios of the MSZ are simulated using fully nonlinear boussinesq model to investigate tsunami hazards on the Jask Port, ...