Risk aggregation with dependence uncertainty (Q2015478)
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scientific article; zbMATH DE number 6306780
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Risk aggregation with dependence uncertainty |
scientific article; zbMATH DE number 6306780 |
Statements
Risk aggregation with dependence uncertainty (English)
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23 June 2014
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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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0.8867571949958801
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0.8711169362068176
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0.852466344833374
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0.8205233812332153
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0.8201414346694946
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