Bounds for Quantile-Based Risk Measures of Functions of Dependent Random Variables

DOI10.1515/EQC.2008.55zbMath1247.91085OpenAlexW2003820535MaRDI QIDQ2915291

Nikolai Kolev, Antonio Elias Fabris, Marcelo Goncalves

Publication date: 16 September 2012

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/eqc.2008.55

zbMATH Keywords

boundsrisk measuredistortion functionstop-loss sums

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

Bounds for Distorted Risk Measures

Cites Work

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• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Stop-loss order for portfolios of dependent risks
• Axiomatic characterization of insurance prices
• Bounds for functions of multivariate risks