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Bounds for the sum of dependent risks having overlapping marginals · Study

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ArticleBounds for the sum of dependent risks having overlapping marginals

Paul Embrechts A2009

OA

Articlebronze2009

Bounds for the sum of dependent risks having overlapping marginals

Paul Embrechts A · Giovanni Puccetti

30 citations·0/0 files stored·Journal of Multivariate Analysis

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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 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006An Introduction to Copulas (Springer Series in Statistics)2002The concept of comonotonicity in actuarial science and finance: theory 1998Mass Transportation Problems 1998Multivariate Models and Dependence Concepts 2003Using copulae to bound the Value-at-Risk for functions of dependent risks 2006Copulas: Tales and facts

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2013Model uncertainty and VaR aggregation 2016VaR Bounds for Joint Portfolios with Dependence Constraints 2013Simple risk measure calculations for sums of positive random variables

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Year2009

Typearticle

Published2009-07-26

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations30

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.jmva.2009.07.004

openalex_workW2165884774

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