Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Mathematical Economics

Authors help

  1. 1 Heilpern S.

Years help

  1. 1 2011

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  dependent random variables
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

Aggregate dependent risks – risk measure calculation

100%
Heilpern S.
Mathematical Economics
|
2011
|
issue 7 (14)
107-122
EN
We investigate the sum of dependent random variables. The dependent structure is modeled by copulas. The risk measures, VaR and ES of such sums, are calculated. We present the lower and upper border of VaR. The examples when the marginals have exponential and Pareto distribution are investigated. The influence of the degree of dependence on the value of VaR of the sum of dependent random variables is analysed.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.