Worst VaR scenarios: A remark
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Publication:1017758
DOI10.1016/j.insmatheco.2008.10.006zbMath1160.91370OpenAlexW3122572929MaRDI QIDQ1017758
Publication date: 12 May 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://pure.uva.nl/ws/files/3770283/94947_270fulltext.pdf
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- Stochastic bounds on sums of dependent risks
- Worst VaR scenarios
- Some asymptotic results for sums of dependent random variables, with actuarial applications
- Random variables with maximum sums
- Upper and lower bounds for sums of random variables
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