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Bounds for Functions of Dependent Risks

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  • Paul Embrechts
  • Giovanni Puccetti

Abstract

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Suggested Citation

  • Paul Embrechts & Giovanni Puccetti, 2006. "Bounds for Functions of Dependent Risks," Finance and Stochastics, Springer, vol. 10(3), pages 341-352, September.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:341-352
    DOI: 10.1007/s00780-006-0005-5
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    References listed on IDEAS

    as
    1. Denuit, M. & Genest, C. & Marceau, E., 1999. "Stochastic bounds on sums of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 85-104, September.
    2. Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
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    More about this item

    Keywords

    Copulas; Dependent risks; Dependence bounds; Fréchet bounds; 60E15; 60E05; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

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