Bounds for functions of multivariate risks
Li et al. [Distributions with Fixed Marginals and Related Topics, vol. 28, Institute of Mathematics and Statistics, Hayward, CA, 1996, pp. 198-212] provide bounds on the distribution and on the tail for functions of dependent random vectors having fixed multivariate marginals. In this paper, we correct a result stated in the above article and we give improved bounds in the case of the sum of identically distributed random vectors. Moreover, we provide the dependence structures meeting the bounds when the fixed marginals are uniformly distributed on the k-dimensional hypercube. Finally, a definition of a multivariate risk measure is given along with actuarial/financial applications.
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Volume (Year): 97 (2006)
Issue (Month): 2 (February)
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References listed on IDEAS
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- Marco Scarsini, 1989.
"Copulae of probability measures on product spaces,"
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
- 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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