Article ID Journal Published Year Pages File Type
1146722 Journal of Multivariate Analysis 2010 14 Pages PDF
Abstract

We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of nn dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.

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Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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Bounds for the sum of dependent risks having overlapping marginals
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