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
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
Journal title :
Journal of Multivariate Analysis