Optimal bounds for integrals with respect to copulas and applications

DOI10.1007/S10957-013-0454-XzbMATH Open1293.90036arXiv1401.1602OpenAlexW2014763527MaRDI QIDQ398667FDOQ398667

Authors: Markus Hofer, Maria Rita Iacò 

Publication date: 15 August 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: We consider the integration of two-dimensional, piecewise constant functions with respect to copulas. By drawing a connection to linear assignment problems, we can give optimal upper and lower bounds for such integrals and construct the copulas for which these bounds are attained. Furthermore, we show how our approach can be extended in order to approximate extremal values in very general situations. Finally, we apply our approximation technique to problems in financial mathematics and uniform distribution theory, such as the model-independent pricing of first-to-default swaps.

Full work available at URL: https://arxiv.org/abs/1401.1602

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zbMATH Keywords

copulascredit risk[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Fr%EF%BF%BD%EF%BF%BDchet-Hoeffding+bounds&go=Go Fr��chet-Hoeffding bounds]linear assignment problemsuniform distribution theory

Mathematics Subject Classification ID

Discrete location and assignment (90B80)

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Cited In (7)

• Bounds on integrals with respect to multivariate copulas
• Distribution functions, extremal limits and optimal transport
• On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
• Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
• Some Integration-by-Parts Formulas Involving 2-Copulas
• Copulas
• Universal integrals based on copulas

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