Bounds for the sum of dependent risks having overlapping marginals
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- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
- Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using partial dependence information," Papers 1610.09734, arXiv.org, revised Jun 2017.
- Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
- Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
More about this item
KeywordsFrechet bounds Overlapping marginals Dependent risks Mass transportation theory Copula functions Value-at-Risk;
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