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ArticleBounds for Functions of Dependent Risks

Paul Embrechts A2006

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Articlegreen2006

Bounds for Functions of Dependent Risks

Paul Embrechts A · Giovanni Puccetti

146 citations·0/0 files stored·Finance and Stochastics

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999An Introduction to Copulas 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1973Random variables, joint distribution functions, and copulas 2002The concept of comonotonicity in actuarial science and finance: theory 1998Mass Transportation Problems 2003Using copulae to bound the Value-at-Risk for functions of dependent risks 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Cited by

2011The complete mixability and convex minimization problems with monotone marginal densities 2013Risk aggregation with dependence uncertainty 2013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities 2011Computation of sharp bounds on the distribution of a function of dependent risks 2005Bounds for functions of multivariate risks 2008Asymptotics of sums of lognormal random variables with Gaussian copula 2015

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2010Copula Theory: An Introductionchapter · 4 shared references 2011The complete mixability and convex minimization problems with monotone marginal densitiesarticle · 4 shared references 2005Bounds for functions of multivariate risksarticle · 4 shared references 2015Extremal Dependence Conceptsarticle · 4 shared references 2006Copulas: A Review and Recent Developmentsarticle · 4 shared references 2005Worst VaR scenariosarticle · 4 shared references

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Year2006

Typearticle

Published2006-04-24

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations146

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s00780-006-0005-5

openalex_workW2013261047

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Extremal Dependence Concepts

2015Value‐at‐Risk Bounds With Variance Constraints