Bounds for Functions of Dependent Risks
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 10 (2006)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60E - - - - - -
- 60E - - - - - -
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- 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.
- repec:ner:louvai:info:hdl:2078.1/95024 is not listed on IDEAS
- 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.
- Wang, Bin & Wang, Ruodu, 2011. "The complete mixability and convex minimization problems with monotone marginal densities," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1344-1360, November.
- McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
- Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
- 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.
- Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
- Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011. "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent) 070, University of Modena and Reggio E., Dept. of Economics.
- Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057, arXiv.org.
- Embrechts, Paul & Puccetti, Giovanni, 2010. "Bounds for the sum of dependent risks having overlapping marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 177-190, January.
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