Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities

DOI10.1007/s00780-012-0200-5zbMath1266.91038OpenAlexW2016291901WikidataQ86833504 ScholiaQ86833504MaRDI QIDQ1945047

Liang Peng, Ruodu Wang, Jing-Ping Yang

Publication date: 2 April 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0200-5

zbMATH Keywords

value-at-riskmonotone densitycomplete mixabilitysum of dependent risks

Mathematics Subject Classification ID

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Cites Work

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• The complete mixability and convex minimization problems with monotone marginal densities
• Solution of a statistical optimization problem by rearrangement methods
• Bounds for functions of dependent risks
• Worst VaR scenarios with given marginals and measures of association
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• Stochastic bounds on sums of dependent risks
• Computation of sharp bounds on the distribution of a function of dependent risks
• Extreme VaR scenarios in higher dimensions
• Bounds for functions of multivariate risks
• Choosing joint distributions so that the variance of the sum is small
• On a class of extremal problems in statistics
• Random variables with maximum sums

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