Bounds for quantile-based risk measures of functions of dependent random variables

DOI10.1515/EQC.2008.55MaRDI QIDQ2915291zbMATH OpenOpenAlexFDO

Authors Marcelo Goncalves, Nikolai Kolev, Antonio Fabris

Publication date 16 September 2012

Published in Economic Quality Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/eqc.2008.55

zbMATH Keywords

boundsdistortion functionrisk measurestop-loss sums

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• Axiomatic characterization of insurance prices
• Bounds for functions of multivariate risks
• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Stop-loss order for portfolios of dependent risks
• The wizards of Wall Street: did mathematics change finance?

Cited in

(9)

• Bounds for the sum of dependent risks having overlapping marginals
• Risk bounds with additional information on functionals of the risk vector
• Computation of sharp bounds on the distribution of a function of dependent risks
• Bounds for functions of multivariate risks
• Bounds for distorted risk measures
• Bounds for functions of dependent risks
• High level quantile approximations of sums of risks
• Quantile of a mixture with application to model risk assessment
• Tolerance intervals for quantiles of bivariate risks and risk measurement

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