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

@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2013.11.005
+Normal rank
@@ Property / OpenAlex ID @@
+W2015420430
@@ Property / OpenAlex ID: W2015420430 / rank @@
+Normal rank
@@ Property / cites work @@
+General Lower Bounds for Arithmetic Asian Option Prices
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic orders and risk measures: consistency and bounds
+Normal rank
@@ Property / cites work @@
+A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011)
+Normal rank
@@ Property / cites work @@
+Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+Static arbitrage bounds on basket option prices
@@ Property / cites work: Static arbitrage bounds on basket option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Q4550909
@@ Property / cites work: Q4550909 / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
@@ Property / cites work: RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic bounds on sums of dependent risks
@@ Property / cites work: Stochastic bounds on sums of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: theory.
+Normal rank
@@ Property / cites work @@
+The herd behavior index: a new measure for the implied degree of co-movement in stock markets
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Using copulae to bound the value-at-risk for functions of dependent risks
+Normal rank
@@ Property / cites work @@
+Bounds for functions of dependent risks
@@ Property / cites work: Bounds for functions of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Static-arbitrage upper bounds for the prices of basket options
+Normal rank
@@ Property / cites work @@
+Upper and lower bounds for sums of random variables
+Normal rank
@@ Property / cites work @@
+Worst VaR scenarios with given marginals and measures of association
+Normal rank
@@ Property / cites work @@
+On convex risk measures on \(L^{p}\)-spaces
@@ Property / cites work: On convex risk measures on \(L^{p}\)-spaces / rank @@
+Normal rank
@@ Property / cites work @@
+Q4552656
@@ Property / cites work: Q4552656 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex majorization with an application to the length of critical paths
+Normal rank
@@ Property / cites work @@
+Stop-loss order for portfolios of dependent risks
@@ Property / cites work: Stop-loss order for portfolios of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Orders Generated by Integrals: a Unified Study
+Normal rank
@@ Property / cites work @@
+Operational Risk
@@ Property / cites work: Operational Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp bounds on the expected shortfall for a sum of dependent random variables
+Normal rank
@@ Property / cites work @@
+Computation of sharp bounds on the distribution of a function of dependent risks
+Normal rank
@@ Property / cites work @@
+Advances in Complete Mixability
@@ Property / cites work: Advances in Complete Mixability / rank @@
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+Inequalities for the expectation of ?-monotone functions
+Normal rank
@@ Property / cites work @@
+Solution of a statistical optimization problem by rearrangement methods
+Normal rank
@@ Property / cites work @@
+Q3550629
@@ Property / cites work: Q3550629 / rank @@
+Normal rank
@@ Property / cites work @@
+Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
+Normal rank
@@ Property / cites work @@
+Inequalities for distributions with given marginals
+Normal rank
@@ Property / cites work @@
+Bounds and approximations for sums of dependent log-elliptical random variables
+Normal rank
@@ Property / cites work @@
+Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
+Normal rank
@@ Property / cites work @@
+The complete mixability and convex minimization problems with monotone marginal densities
+Normal rank