Sharp Bounds for Sums of Dependent Risks

DOI10.1239/JAP/1363784423zbMath1282.60017OpenAlexW2077596367MaRDI QIDQ4918560

Ludger Rüschendorf, Giovanni Puccetti

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784423

zbMATH Keywords

Fréchet boundmass transportation theorybounds for dependent risks

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (30)

VaR bounds in models with partial dependence information on subgroups ⋮ A note on joint mix random vectors ⋮ Frameworks and results in distributionally robust optimization ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Optimal bounds for integrals with respect to copulas and applications ⋮ Model risk in credit risk ⋮ Ordering and inequalities for mixtures on risk aggregation ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Distribution functions, extremal limits and optimal transport ⋮ Risk concentration under second order regular variation ⋮ Quantile of a mixture with application to model risk assessment ⋮ Unnamed Item ⋮ Risk Bounds and Partial Dependence Information ⋮ Bounds on total economic capital: the DNB case study ⋮ Detecting complete and joint mixability ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Current open questions in complete mixability ⋮ Robust risk management via multi-marginal optimal transport ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Robust Actuarial Risk Analysis ⋮ Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates ⋮ VaR bounds for joint portfolios with dependence constraints ⋮ Extremal dependence concepts ⋮ Aggregation of log-linear risks ⋮ Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals ⋮ The Mean of Marshall–Olkin-Dependent Exponential Random Variables

Cites Work

• The complete mixability and convex minimization problems with monotone marginal densities
• Bounds for functions of dependent risks
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Computation of sharp bounds on the distribution of a function of dependent risks
• Advances in Complete Mixability
• [https://portal.mardi4nfdi.de/wiki/Publication:3889821 Sharpness of Fr�chet-bounds]
• On a class of extremal problems in statistics
• Random variables with maximum sums
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed

This page was built for publication: Sharp Bounds for Sums of Dependent Risks