Bounds for functions of dependent risks

DOI10.1007/s00780-006-0005-5zbMath1101.60010OpenAlexW3125152252MaRDI QIDQ854282

Paul Embrechts, Giovanni Puccetti

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0005-5

zbMATH Keywords

copulasFréchet boundsdependent risksdependence bounds

Mathematics Subject Classification ID

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Cites Work

• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
• An introduction to copulas. Properties and applications
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• The concept of comonotonicity in actuarial science and finance: theory.
• Using copulae to bound the value-at-risk for functions of dependent risks
• Stochastic bounds on sums of dependent risks
• Random variables with maximum sums
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
• Unnamed Item

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