Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence

DOI10.2478/demo-2013-0002OpenAlexW3124817877MaRDI QIDQ5417589

Yuntao Liu, Jinyuan Zhang, Niall MacGillivray, Carole Bernard

Publication date: 21 May 2014

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/demo-2013-0002

zbMATH Keywords

copulascapital requirementsFréchet-Hoeffding bounds

Mathematics Subject Classification ID

Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical distribution theory (62E99)

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