A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks

DOI10.1016/j.jmva.2014.04.023zbMath1292.62077OpenAlexW2071433805MaRDI QIDQ2252881

Marie-Pier Côté, Mélina Mailhot, Étienne Marceau, Hélène Cossette

Publication date: 24 July 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.023

zbMATH Keywords

value-at-riskdependent random variablesrisk aggregationnumerical bounds

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables, High level quantile approximations of sums of risks, Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models, On sums of two counter-monotonic risks

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