Optimal bounds for integrals with respect to copulas and applications
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Publication:398667
DOI10.1007/s10957-013-0454-xzbMath1293.90036arXiv1401.1602MaRDI QIDQ398667
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
copulas; credit risk; Fréchet-Hoeffding bounds; linear assignment problems; uniform distribution theory
90B80: Discrete location and assignment
Related Items
Copulas, 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
Cites Work
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- Assignment Problems
- A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING
- Sharp Bounds for Sums of Dependent Risks
- Latin hypercube sampling with dependence and applications in finance
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