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MA
2010
Springer

Bounds for the sum of dependent risks having overlapping marginals

13 years 2 months ago
Bounds for the sum of dependent risks having overlapping marginals
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial/actuarial interest. Key words: Fr´echet bounds, overlapping marginals, dependent risks, mass transportation theory, copula functions, Value-at-Risk 2000 MSC: 60E15, 60E05
Paul Embrechts, Giovanni Puccetti
Added 29 Jan 2011
Updated 29 Jan 2011
Type Journal
Year 2010
Where MA
Authors Paul Embrechts, Giovanni Puccetti
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