Sharp bounds on the expected shortfall for a sum of dependent random variables
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Publication:1950775
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Cites work
- Advances in complete mixability
- Computation of sharp bounds on the distribution of a function of dependent risks
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Random variables with maximum sums
- Rearrangement Inequalities
- Shortfall as a risk measure: properties, optimization and applications
- Solution of a statistical optimization problem by rearrangement methods
- Stochastic orders
- The complete mixability and convex minimization problems with monotone marginal densities
Cited in
(21)- Risk aggregation with dependence uncertainty
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- General lower bounds on convex functionals of aggregate sums
- Similar risks have similar prices: a useful and exact quantification
- A modified version of stochastic dominance involving dependence
- Reducing model risk via positive and negative dependence assumptions
- A concept of copula robustness and its applications in quantitative risk management
- Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
- Dependence uncertainty for aggregate risk: examples and simple bounds
- Optimal bounds for integrals with respect to copulas and applications
- Tail mutual exclusivity and Tail-VaR lower bounds
- Bounds on total economic capital: the DNB case study
- Detecting complete and joint mixability
- scientific article; zbMATH DE number 7387532 (Why is no real title available?)
- Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Risk quantization by magnitude and propensity
- Robust risk management via multi-marginal optimal transport
- Negative dependence in matrix arrangement problems
- Copula-based estimation of meanimiles of aggregated risks
- Aggregation-robustness and model uncertainty of regulatory risk measures
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