Distributional bounds for functions of dependent risks

MaRDI QIDQ3562658zbMATH OpenFDO

Authors Hélène Cossette, É. Marceau, Michel Denuit

Publication date 27 May 2010

zbMATH Keywords

claims severitiescumulative distribution functionremaining lifetime

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bounds for functions of dependent risks
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Cited in

(13)

• Diversification of aggregate dependent risks
• Risk bounds with additional information on functionals of the risk vector
• Tight bounds for a class of data-driven distributionally robust risk measures
• Computation of sharp bounds on the distribution of a function of dependent risks
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Bounds on the value-at-risk for the sum of possibly dependent risks
• Aggregation of dependent risks using the Koehler-Symanowski copula function
• Bounds for quantile-based risk measures of functions of dependent random variables
• Asymptotic bounds for the distribution of the sum of dependent random variables
• Adjustment coefficient for risk processes in some dependent contexts
• On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
• Bounds for functions of dependent risks
• Asymptotics of sums of lognormal random variables with Gaussian copula

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