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Bounds for Ruin Probabilities and Value at Risk
follows. First notice that (16) is equivalent to: (17) d = inf y00 + y10µ1 + y01µ2 + y20µ (2) 1 + y02µ ... VALUE AT RISK Although the second constraint of (17) can be handled directly, the first constraint is ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods