Bounds on the value-at-risk for the sum of possibly dependent risks (Q2567094)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds on the value-at-risk for the sum of possibly dependent risks |
scientific article |
Statements
Bounds on the value-at-risk for the sum of possibly dependent risks (English)
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29 September 2005
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comonotonicity
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copula
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Fréchet-Hoeffding bounds
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correlation matrix
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value-at-risk
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