Value at Risk estimation of aggregated risks using marginal laws and some dependence information
Résumé
Estimating high level quantiles of aggregated variables (mainly sums or weighted sums) is crucial in risk management for many application fields such as finance, insurance, environment. . . . This question has been widely treated but new efficient methods are always welcome; especially if they apply in relatively) high dimension. We propose an estimation procedure based on the checkerboard copula. It allows to get good estimations from a quite) small sample of the multivariate law and a full knowledge of the marginal laws. This situation is realistic for many applications, mainly in insurance. Moreover, we may also improve the estimations by including in the checkerboard copula some additional information (on the lawof a sub-vector or on extreme probabilities).