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.
Volume (Year): 97 (2006)
Issue (Month): 2 (February)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Scarsini, Marco, 1989. "Copulae of probability measures on product spaces," Journal of Multivariate Analysis, Elsevier, vol. 31(2), pages 201-219, November.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:97:y:2006:i:2:p:526-547. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.