Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds

DOI10.1007/978-3-319-25826-3_18zbMath1356.91103MaRDI QIDQ2956062

Edgars Jakobsons, Paul Embrechts

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_18

zbMATH Keywords

numerical examples; value-at-risk; expected shortfall; dependence uncertainty; risk aggregation; rearrangement algorithm; inhomogeneous portfolio

Mathematics Subject Classification ID

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

91G70: Statistical methods; risk measures

62G32: Statistics of extreme values; tail inference

Related Items

Joint mixability of some integer matrices

Uses Software

• QRM

Cites Work

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