A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks

DOI10.1016/j.jmva.2014.04.023zbMath1292.62077MaRDI QIDQ2252881

Marie-Pier Côté, Mélina Mailhot, Étienne Marceau, Hélène Cossette

Publication date: 24 July 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.023

zbMATH Keywords

value-at-risk; dependent random variables; risk aggregation; numerical bounds

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables, On sums of two counter-monotonic risks, High level quantile approximations of sums of risks, Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models

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