Risk aggregation with dependence uncertainty (Q2015478)

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Risk aggregation with dependence uncertainty
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    title
    Risk aggregation with dependence uncertainty (English)
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    author
    Carole Bernard
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    Xiao Jiang
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    Ruodu Wang
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    publication date
    23 June 2014
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    zbMATH DE Number
    6306780
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    zbMATH Keywords
    dependence structure
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    aggregate risk
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    admissible risk
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    convex risk measures
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    TVaR
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    convex order
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    complete mixability
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    VaR bounds
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