Risk aggregation with dependence uncertainty

DOI10.1016/J.INSMATHECO.2013.11.005zbMATH Open1291.91090OpenAlexW2015420430MaRDI QIDQ2015478FDOQ2015478

Ruodu Wang, Carole Bernard, Xiao Jiang

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

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zbMATH Keywords

aggregate riskconvex orderconvex risk measuresTVaRdependence structurecomplete mixabilityVaR boundsadmissible risk

Mathematics Subject Classification ID

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Cited In (61)

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• BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS
• The impact of correlation on (Range) Value-at-Risk
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Uses Software

• QRM

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