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Risk aggregation with dependence uncertainty · Study

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ArticleRisk aggregation with dependence uncertainty

Carole Bernard2013

Article2013

Risk aggregation with dependence uncertainty

Carole Bernard · Xiao Jiang · Ruodu Wang

133 citations·0/0 files stored·Insurance Mathematics and Economics

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 133 citations exist upstream.

References

1999Coherent Measures of Risk 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2010Basel Committee On Banking Supervision 2002Convex measures of risk and trading constraints 2001On law invariant coherent risk measures 2010Copula Theory and Its Applications 2002The concept of comonotonicity in actuarial science and finance: theory 1995The value of an Asian option

Cited by

2015Extremal Dependence Concepts 2015Value‐at‐Risk Bounds With Variance Constraints 2018Characterization, Robustness and Aggregation of Signed Choquet Integrals 2016Joint Mixability 2021A Theory for Measures of Tail Risk 2015A new approach to assessing model risk in high dimensions 2017Worst-Case Range Value-at-Risk with Partial Information 2017Risk bounds for factor models

Details

Year2013

Typearticle

Published2013-11-21

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations133

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1016/j.insmatheco.2013.11.005

openalex_workW2015420430

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