Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds
DOI10.1007/978-3-319-25826-3_18zbMath1356.91103OpenAlexW2261999167MaRDI QIDQ2956062
Edgars Jakobsons, Paul Embrechts
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_18
numerical examplesvalue-at-riskexpected shortfalldependence uncertaintyrisk aggregationrearrangement algorithminhomogeneous portfolio
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)
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Cites Work
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