Bounds on total economic capital: the DNB case study
DOI10.1007/S10687-014-0202-0zbMATH Open1314.91129OpenAlexW3125179638MaRDI QIDQ482086FDOQ482086
Authors: Kjersti Aas, Giovanni Puccetti 
Publication date: 19 December 2014
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-014-0202-0
Recommendations
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (11)
- Reduction of Value-at-Risk bounds via independence and variance information
- Title not available (Why is that?)
- A review on ambiguity in stochastic portfolio optimization
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds
- Reducing model risk via positive and negative dependence assumptions
- Algorithms for Finding Copulas Minimizing Convex Functions of Sums
- Top-down approaches for integrated risk management: how accurate are they?
- Current open questions in complete mixability
- An algorithm to approximate the optimal expected inner product of two vectors with given marginals
- Rearrangement algorithm and maximum entropy
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