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FS
2006

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Bounds for Functions of Dependent Risks

13 years 4 months ago

Bounds for Functions of Dependent Risks

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Abstract The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n = 2 and a lower bound on the copula of the portfolio is provided. The problem gets much more complicated in arbitrary dimensions. When no information on the structure of dependence of the random vector is available, we provide a bound on the distribution function of the sum of risks which we prove to be better than the one generally used in the literature. Key words copulas

Paul Embrechts, Giovanni Puccetti

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Dependent Risks | FS 2006 | Lower Bound | Non-decreasing Function |

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Added	12 Dec 2010
Updated	12 Dec 2010
Type	Journal
Year	2006
Where	FS
Authors	Paul Embrechts, Giovanni Puccetti

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