Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
Fuente:
arXiv
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866913406677680128 |
|---|---|
| author | De Vecchi, Corrado Nendel, Max Streicher, Jan |
| author_facet | De Vecchi, Corrado Nendel, Max Streicher, Jan |
| contents | In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal couplings, as a generalization of well-known correlation statistics such as the Pearson correlation. The first main result states that even an arbitrarily small positive dependence between losses can result in perfectly correlated tails beyond a certain threshold and seemingly complete independence before this threshold. In a second step, we focus on the aggregation of individual risks with known marginal distributions by means of arbitrary nondecreasing left-continuous aggregation functions. In this context, we show that under an arbitrarily small positive dependence, the tail risk of the aggregate loss might coincide with the one of perfectly correlated losses. A similar result is derived for expectiles under mild conditions. In a last step, we discuss our results in the context of credit risk, analyzing the potential effects on the value at risk for weighted sums of Bernoulli distributed losses. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_19242 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty De Vecchi, Corrado Nendel, Max Streicher, Jan Risk Management Mathematical Finance In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal couplings, as a generalization of well-known correlation statistics such as the Pearson correlation. The first main result states that even an arbitrarily small positive dependence between losses can result in perfectly correlated tails beyond a certain threshold and seemingly complete independence before this threshold. In a second step, we focus on the aggregation of individual risks with known marginal distributions by means of arbitrary nondecreasing left-continuous aggregation functions. In this context, we show that under an arbitrarily small positive dependence, the tail risk of the aggregate loss might coincide with the one of perfectly correlated losses. A similar result is derived for expectiles under mild conditions. In a last step, we discuss our results in the context of credit risk, analyzing the potential effects on the value at risk for weighted sums of Bernoulli distributed losses. |
| title | Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty |
| topic | Risk Management Mathematical Finance |
| url | https://arxiv.org/abs/2406.19242 |