Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds

DOI10.1007/978-3-319-25826-3_18zbMath1356.91103OpenAlexW2261999167MaRDI QIDQ2956062

Edgars Jakobsons, Paul Embrechts

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_18

zbMATH Keywords

numerical examplesvalue-at-riskexpected shortfalldependence uncertaintyrisk aggregationrearrangement algorithminhomogeneous portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Joint mixability of some integer matrices

Uses Software

• QRM

Cites Work

• Bounds on total economic capital: the DNB case study
• The complete mixability and convex minimization problems with monotone marginal densities
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• Dynamic factor multivariate GARCH model
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• Sharp bounds on the expected shortfall for a sum of dependent random variables
• The safest dependence structure among risks.
• General lower bounds on convex functionals of aggregate sums
• A note on generalized inverses
• Computation of sharp bounds on the distribution of a function of dependent risks
• Worst VaR scenarios
• Advances in Complete Mixability
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
• Sharp Bounds for Sums of Dependent Risks
• External Risk Measures and Basel Accords

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