Bounds for functions of multivariate risks
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References listed on IDEAS
- Scarsini, Marco, 1989.
"Copulae of probability measures on product spaces,"
Journal of Multivariate Analysis, Elsevier, vol. 31(2), pages 201-219, November.
- Marco Scarsini, 1989. "Copulae of probability measures on product spaces," Post-Print hal-00542233, HAL.
- Marco, J. M. & Ruiz-Rivas, C., 1992. "On the construction of multivariate distributions with given nonoverlapping multivariate marginals," Statistics & Probability Letters, Elsevier, vol. 15(4), pages 259-265, November.
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Keywords
Multivariate marginals Coupling Dual bounds Value-at-Risk Risk measures;Statistics
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