Title of article
Bounds for the sum of dependent risks having overlapping marginals
Author/Authors
Embrechts، نويسنده , , Paul and Puccetti، نويسنده , , Giovanni، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2010
Pages
14
From page
177
To page
190
Abstract
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 and actuarial interest.
Keywords
Fréchet bounds , Overlapping marginals , Dependent risks , Mass transportation theory , Copula Functions , Value-at-Risk
Journal title
Journal of Multivariate Analysis
Serial Year
2010
Journal title
Journal of Multivariate Analysis
Record number
1565345
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