Recommendations
Cites work
- An introduction to copulas.
- Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
- Bounds for functions of dependent risks
- scientific article; zbMATH DE number 3744198 (Why is no real title available?)
- Random variables with maximum sums
- Some asymptotic results for sums of dependent random variables, with actuarial applications
- Stochastic bounds on sums of dependent risks
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- Upper and lower bounds for sums of random variables
- Worst VaR scenarios
- Worst VaR scenarios with given marginals and measures of association
Cited in
(17)- Worst VaR scenarios with given marginals and measures of association
- Stochastic orders and co-risk measures under positive dependence
- Worst case portfolio vectors and diversification effects
- On the uncertainty of VaR of individual risk
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Worst VaR scenarios
- Model-independent price bounds for catastrophic mortality bonds
- Systemic risk: conditional distortion risk measures
- A multivariate extension of the increasing convex order to compare risks
- Stochastic comparisons of capital allocations with applications
- Multivariate stress scenarios and solvency
- Worst-case range value-at-risk with partial information
- Distributional bounds for portfolio risk with tail dependence
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Worst case risk measurement: back to the future?
- Applications of conditional comonotonicity to some optimization problems
- Quantile-based risk contribution measures for risk portfolios with positive dependence
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