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Bounds for Functions of Dependent Risks

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  • Paul Embrechts

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  • Giovanni Puccetti

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-006-0005-5
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 10 (2006)
    Issue (Month): 3 (September)
    Pages: 341-352

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    Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:341-352

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    Related research

    Keywords: Copulas; Dependent risks; Dependence bounds; Fréchet bounds; 60E15; 60E05; G10;

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    References

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    1. 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), Bank of Italy, Economic Research and International Relations Area 517, Bank of Italy, Economic Research and International Relations Area.
    2. 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.
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    Cited by:
    1. McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
    2. Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057, arXiv.org.
    3. Cascos, Ignacio & Molchanov, Ilya, 2013. "Choosing a random distribution with prescribed risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 599-605.
    4. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
    5. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
    6. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
    7. Wang, Bin & Wang, Ruodu, 2011. "The complete mixability and convex minimization problems with monotone marginal densities," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 102(10), pages 1344-1360, November.
    8. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
    9. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 2750-2764.
    10. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, Springer, vol. 16(1), pages 155-175, January.
    11. Embrechts, Paul & Puccetti, Giovanni, 2010. "Bounds for the sum of dependent risks having overlapping marginals," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 101(1), pages 177-190, January.
    12. Ruodu Wang & Liang Peng & Jingping Yang, 2013. "Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities," Finance and Stochastics, Springer, Springer, vol. 17(2), pages 395-417, April.
    13. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011. "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 070, University of Modena and Reggio E., Dept. of Economics.

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