Risk bounds with additional information on functionals of the risk vector
DOI10.1515/DEMO-2018-0006zbMATH Open1417.91283OpenAlexW2805509072WikidataQ129715384 ScholiaQ129715384MaRDI QIDQ1994041FDOQ1994041
Authors: Ludger Rüschendorf 
Publication date: 1 November 2018
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2018-0006
Recommendations
- Bounds for functions of multivariate risks
- Bounds for functions of dependent risks
- Analytical Bounds for two Value-at-Risk Functionals
- Convex risk measures beyond bounded risks
- Distributional bounds for functions of dependent risks
- Computing best bounds for nonlinear risk measures with partial information
- Convex risk functionals: representation and applications
- Risk bounds and partial dependence information
- Risk functionals with convex level sets
- Bounds for quantile-based risk measures of functions of dependent random variables
value-at-riskdependence uncertaintyrisk bounds[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Fr%EF%BF%BD%EF%BF%BDchet+class&go=Go Fr��chet class]
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
- Using copulae to bound the value-at-risk for functions of dependent risks
- Stochastic bounds on sums of dependent risks
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- Model-independent bounds for option prices -- a mass transport approach
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- Reducing model risk via positive and negative dependence assumptions
- Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Bounds for functions of multivariate risks
- Sharp bounds for sums of dependent risks
- Bounds for functions of dependent risks
- Joint Mixability
- Inequalities for the expectation of ?-monotone functions
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
- Bounds for joint portfolios of dependent risks
- Reduction of Value-at-Risk bounds via independence and variance information
- VaR bounds for joint portfolios with dependence constraints
- Worst-case range value-at-risk with partial information
- Risk bounds and partial dependence information
- VaR bounds in models with partial dependence information on subgroups
- Risk bounds for factor models
Cited In (7)
- Bounds for functions of multivariate risks
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
- Extreme biconic copulas: characterization, properties and extensions to aggregation functions
- Detection of arbitrage opportunities in multi-asset derivatives markets
- Computing best bounds for nonlinear risk measures with partial information
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Vector risk functions
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