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 (2)
Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance ⋮ On minimal copulas under the concordance order
Cites Work
- Convergence results for patchwork copulas
- Optimal bounds for integrals with respect to copulas and applications
- On the approximation of copulas via shuffles of Min
- Some approximations of \(n\)-copulas
- The complete mixability and convex minimization problems with monotone marginal densities
- An introduction to copulas.
- Distribution functions, extremal limits and optimal transport
- Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
- Extremal dependence concepts
- Reducing model risk via positive and negative dependence assumptions
- Computation of sharp bounds on the distribution of a function of dependent risks
- Assignment Problems
- Inequalities for the expectation of ?-monotone functions
- $C$-cyclical monotonicity as a sufficient criterion for optimality in the multimarginal Monge–Kantorovich problem
- Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
- Optimal Transport
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