Decomposing aggregate risk into marginal risks under partial information: A top-down method

DOI10.1016/J.SPL.2017.01.015zbMath1463.91034OpenAlexW2580669763MaRDI QIDQ514120

Hui Shao

Publication date: 28 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.01.015

zbMATH Keywords

covariance matrixpartial informationaggregate risk modeltop-down

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The complete mixability and convex minimization problems with monotone marginal densities
• An introduction to copulas.
• Best bounds for positive distributions with fixed moments
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• A Top-Down Approach to Multiname Credit
• Bounding Probability of Small Deviation: A Fourth Moment Approach
• Joint Mixability
• Mathematical Statistics
• A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions

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