Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
نویسندگان
چکیده
Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures like Value-atRisk (VaR). We show how VaR can change from subto superadditivity depending on the properties of the underlying model. Mainly, the switch from a finite to an infinite mean model gives a completely different asymptotic behaviour. Our main result proves a conjecture made in Barbe et al. [3].
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