Risk aggregation with dependence uncertainty (Q2015478): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.insmatheco.2013.11.005
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+W2015420430
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@@ Property / cites work @@
+General Lower Bounds for Arithmetic Asian Option Prices
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+Coherent Measures of Risk
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+Stochastic orders and risk measures: consistency and bounds
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+A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)
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+Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Static arbitrage bounds on basket option prices
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+Q4550909
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+RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
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+Stochastic bounds on sums of dependent risks
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+The concept of comonotonicity in actuarial science and finance: theory.
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+The herd behavior index: a new measure for the implied degree of co-movement in stock markets
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+Risk Measures and Comonotonicity: A Review
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+Using copulae to bound the value-at-risk for functions of dependent risks
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+Bounds for functions of dependent risks
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+Convex measures of risk and trading constraints
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+Static-arbitrage upper bounds for the prices of basket options
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+Upper and lower bounds for sums of random variables
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+Worst VaR scenarios with given marginals and measures of association
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+On convex risk measures on \(L^{p}\)-spaces
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+Convex majorization with an application to the length of critical paths
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+Stop-loss order for portfolios of dependent risks
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+Stochastic Orders Generated by Integrals: a Unified Study
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+Operational Risk
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+Sharp bounds on the expected shortfall for a sum of dependent random variables
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+Computation of sharp bounds on the distribution of a function of dependent risks
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+Advances in Complete Mixability
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+The value of an Asian option
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+Inequalities for the expectation of ?-monotone functions
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+Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
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+Inequalities for distributions with given marginals
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+Bounds and approximations for sums of dependent log-elliptical random variables
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+Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
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+The complete mixability and convex minimization problems with monotone marginal densities
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