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Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses

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Mathematical Risk Analysis

Abstract

The previous chapter (Chapter 13) is concerned with portfolio optimization w.r.t. extreme portfolio losses within a particular model – assumed to be multivariate regularly varying – and with statistical properties of the estimators of the extremal risk index and the optimal portfolio. In this chapter an ordering called asymptotic portfolio loss ordering (apl) is introduced which is closely connected with the extremal risk index and which allows to compare different stochastic models of risk vectors w.r.t. extreme portfolio losses. In particular worst case and best case dependence structures are determined.

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Authors and Affiliations

  1. Department of Mathematical Stochastics, University of Freiburg, Freiburg, Germany

    Ludger Rüschendorf

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  1. Ludger Rüschendorf
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Rüschendorf, L. (2013). Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses. In: Mathematical Risk Analysis. Springer Series in Operations Research and Financial Engineering. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33590-7_14

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