Risk aggregation with dependence uncertainty

DOI10.1016/J.INSMATHECO.2013.11.005MaRDI QIDQ2015478zbMATH OpenOpenAlexFDO

Authors Carole Bernard, Xiao Jiang, Ruodu Wang

Publication date 23 June 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.11.005

zbMATH Keywords

aggregate riskconvex orderconvex risk measuresTVaRdependence structurecomplete mixabilityVaR boundsadmissible risk

Mathematics Subject Classification ID

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