Bounds on integrals with respect to multivariate copulas
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Publication:727659
DOI10.1515/demo-2016-0016zbMath1414.91429arXiv1606.08661OpenAlexW2962999068MaRDI QIDQ727659
Publication date: 20 December 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.08661
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
Related Items
Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance, On minimal copulas under the concordance order
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