Bounds for the sum of dependent risks having overlapping marginals

DOI10.1016/j.jmva.2009.07.004zbMath1177.60022OpenAlexW2165884774MaRDI QIDQ1041073

Giovanni Puccetti, Paul Embrechts

Publication date: 27 November 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.07.004

zbMATH Keywords

value-at-riskFréchet boundscopula functionsdependent risksmass transportation theoryoverlapping marginals

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05)

Related Items (12)

Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ A Conversation With Paul Embrechts ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ Tail-dependence, exceedance sets, and metric embeddings ⋮ Computation of sharp bounds on the distribution of a function of dependent risks ⋮ Optimal nonparametric testing of missing completely at random and its connections to compatibility ⋮ Risk Bounds and Partial Dependence Information ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Current open questions in complete mixability ⋮ VaR bounds for joint portfolios with dependence constraints ⋮ Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals ⋮ Tail behavior of sums and differences of log-normal random variables

Uses Software

• QRM

Cites Work

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• Stochastic bounds on sums of dependent risks
• Copulas: Tales and facts (with discussion)
• Bounds for functions of multivariate risks
• Random variables with maximum sums

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