Title
Risk management under incomplete information: exact upper and lower bounds for the value at risk Risk management under incomplete information: exact upper and lower bounds for the value at risk
Author
Faculty/Department
Faculty of Applied Economics
Publication type
report
Publication
Antwerp :UA, [*]
Subject
Economics
Source (series)
Research paper / UA, Faculty of Applied Economics ; 2006:20
Volume/pages
23 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
A key problem in nancial and actuarial research, and particularly in the eld of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by xing only a number of parameters instead of a complete distri- bution, which results in bounds instead of unique results. In the present contribution, we derive upper and lower bounds for the Value at Risk , in case the information about the underlying distribution is restricted to successive moments, and possibly the mode. These bounds are obtained by means of a transformation of similar results about tail probabilities.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/61cfcd/4b52c936.pdf
Handle