Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
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Cites work
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Advances in complete mixability
- Bounds for joint portfolios of dependent risks
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Coherent measures of risk
- Risk aggregation with dependence uncertainty
- Sharp bounds for sums of dependent risks
- Sharp bounds on the expected shortfall for a sum of dependent random variables
- The complete mixability and convex minimization problems with monotone marginal densities
Cited in
(21)- The distributions of the mean of random vectors with fixed marginal distribution
- Current open questions in complete mixability
- On aggregation sets and lower-convex sets
- Studying mixability with supermodular aggregating functions
- How superadditive can a risk measure be?
- The impact of correlation on (Range) Value-at-Risk
- Risk bounds and partial dependence information
- On sums of two counter-monotonic risks
- Reduction of Value-at-Risk bounds via independence and variance information
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Quantile of a mixture with application to model risk assessment
- Asymptotic equivalence of risk measures under dependence uncertainty
- Joint Mixability
- VaR bounds in models with partial dependence information on subgroups
- Risk bounds for factor models
- Extreme negative dependence and risk aggregation
- Reducing model risk via positive and negative dependence assumptions
- Extremal dependence concepts
- Detecting complete and joint mixability
- Collective risk models with dependence uncertainty
- General convex order on risk aggregation
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