VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables (2512.07787v1)

Abstract: We investigate the extremal aggregation behavior of Value-at-Risk (VaR) -- that is, its additivity properties across all probability levels -- for sums of one-sided random variables. For risks supported on ([0,\infty)), we show that VaR sub-additivity is impossible except in the degenerate case of exact additivity, which holds only under co-monotonicity. To characterize when VaR is instead fully super-additive, we introduce two structural conditions: negative simplex dependence (NSD) for the joint distribution and simplex dominance (SD) for a margin-dependent functional. Together, these conditions provide a unified and easily verifiable framework that accommodates non-identical margins, heavy-tailed laws, and a wide spectrum of negative dependence structures. All results extend to random variables with arbitrary finite lower or upper endpoints, yielding sharp constraints on when strict sub- or super-additivity can occur.