A Basic Asymptotic Test for Value-at-Risk Subadditivity
An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks’ sum. Its size is considered mathematically, and its powe...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-12-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/12/12/199 |
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| author | Marius Hofert |
| author_facet | Marius Hofert |
| author_sort | Marius Hofert |
| collection | DOAJ |
| description | An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks’ sum. Its size is considered mathematically, and its power and <i>p</i>-value are studied empirically for different dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence levels. |
| format | Article |
| id | doaj-art-c44ae3f6f91d43d08b4aaf1e4d843298 |
| institution | Kabale University |
| issn | 2227-9091 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj-art-c44ae3f6f91d43d08b4aaf1e4d8432982024-12-27T14:51:52ZengMDPI AGRisks2227-90912024-12-01121219910.3390/risks12120199A Basic Asymptotic Test for Value-at-Risk SubadditivityMarius Hofert0Department of Statistics and Actuarial Science, School of Computing and Data Science, The University of Hong Kong, Hong Kong SAR, ChinaAn asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks’ sum. Its size is considered mathematically, and its power and <i>p</i>-value are studied empirically for different dependence structures, strength of dependence, marginal distributions, sample sizes, number of risks and value-at-risk confidence levels.https://www.mdpi.com/2227-9091/12/12/199asymptotic hypothesis testdistributional transformsubadditivitysuperadditivityvalue at risk |
| spellingShingle | Marius Hofert A Basic Asymptotic Test for Value-at-Risk Subadditivity Risks asymptotic hypothesis test distributional transform subadditivity superadditivity value at risk |
| title | A Basic Asymptotic Test for Value-at-Risk Subadditivity |
| title_full | A Basic Asymptotic Test for Value-at-Risk Subadditivity |
| title_fullStr | A Basic Asymptotic Test for Value-at-Risk Subadditivity |
| title_full_unstemmed | A Basic Asymptotic Test for Value-at-Risk Subadditivity |
| title_short | A Basic Asymptotic Test for Value-at-Risk Subadditivity |
| title_sort | basic asymptotic test for value at risk subadditivity |
| topic | asymptotic hypothesis test distributional transform subadditivity superadditivity value at risk |
| url | https://www.mdpi.com/2227-9091/12/12/199 |
| work_keys_str_mv | AT mariushofert abasicasymptotictestforvalueatrisksubadditivity AT mariushofert basicasymptotictestforvalueatrisksubadditivity |