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Document Details :

Title: Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
Author(s): WÜTHRICH, M.V.
Journal: ASTIN Bulletin
Volume: 33    Issue: 1   Date: May 2003   
Pages: 75-92
DOI: 10.2143/AST.33.1.1040

Abstract :
We estimate Value-at-Risk for sums of dependent random variables.We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.