Optimal bounds for integrals with respect to copulas and applications

DOI10.1007/S10957-013-0454-XzbMath1293.90036arXiv1401.1602OpenAlexW2014763527MaRDI QIDQ398667

Maria Rita Iacò, Markus Hofer

Publication date: 15 August 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.1602

zbMATH Keywords

copulascredit riskFréchet-Hoeffding boundslinear assignment problemsuniform distribution theory

Mathematics Subject Classification ID

Discrete location and assignment (90B80)

Related Items (4)

On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures ⋮ Copulas ⋮ Distribution functions, extremal limits and optimal transport ⋮ Bounds on integrals with respect to multivariate copulas

Cites Work

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• Assignment Problems
• A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING
• Sharp Bounds for Sums of Dependent Risks
• Latin hypercube sampling with dependence and applications in finance

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