Bounds for the sum of dependent risks having overlapping marginals
نویسندگان
چکیده
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial/actuarial interest.
منابع مشابه
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عنوان ژورنال:
- J. Multivariate Analysis
دوره 101 شماره
صفحات -
تاریخ انتشار 2010