Using copulae to bound the value-at-risk for functions of dependent risks
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Publication:1424710
DOI10.1007/s007800200085zbMath1039.91023OpenAlexW2030797081MaRDI QIDQ1424710
Andrea Höing, Paul Embrechts, Alessandro Juri
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200085
Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05) Portfolio theory (91G10)
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