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Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
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2016/1/25
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
font style='font-size:12px;'>
2016/1/20
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...