Risk aggregation under dependence uncertainty and an order constraint
From MaRDI portal
Publication:2670114
DOI10.1016/j.insmatheco.2021.10.006zbMath1484.91378arXiv2104.07718OpenAlexW3212095647MaRDI QIDQ2670114
Liyuan Lin, Ruodu Wang, Yuyu Chen
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.07718
Cites Work
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- VaR bounds for joint portfolios with dependence constraints
- Stochastic orders
- Aggregation-robustness and model uncertainty of regulatory risk measures
- The concept of comonotonicity in actuarial science and finance: theory.
- Some remarks on the supermodular order
- Extremal dependence concepts
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Risk aggregation with dependence uncertainty
- Bivariate distributions with ordered marginals
- Risk bounds for factor models
- A note on generalized inverses
- Computation of sharp bounds on the distribution of a function of dependent risks
- Bounds for functions of multivariate risks
- Mathematical Risk Analysis
- Risk Measures and Comonotonicity: A Review
- Robustness and sensitivity analysis of risk measurement procedures
- Random variables with maximum sums
- Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
- Monotone Treatment Response
- General convex order on risk aggregation
- Reduction of Value-at-Risk bounds via independence and variance information
- Sharp Bounds for Sums of Dependent Risks
- A Theory for Measures of Tail Risk
- Quantile-Based Risk Sharing
- Isotonic Distributional Regression
- Risk Aversion in Regulatory Capital Principles
- Regression Modeling with Actuarial and Financial Applications
- Consistent Tests for Stochastic Dominance
This page was built for publication: Risk aggregation under dependence uncertainty and an order constraint
