Optimal bounds for integrals with respect to copulas and applications

DOI10.1007/S10957-013-0454-XMaRDI QIDQ398667zbMATH OpenOpenAlexFDO

Authors Markus Hofer, Maria Rita Iacò

Publication date 15 August 2014

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

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

zbMATH Keywords

copulascredit risklinear assignment problemsuniform distribution theoryFréchet-Hoeffding bounds

Mathematics Subject Classification ID

Discrete location and assignment (90B80)

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.

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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
• Universal integrals based on copulas
• Copulas

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